A property of distributions of diffusion processes (Q1337879): Difference between revisions
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Revision as of 02:59, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A property of distributions of diffusion processes |
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A property of distributions of diffusion processes (English)
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16 November 1994
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Let \(\mu_X\) be a distribution of the diffusion process defined by the equation \(dX_t = a(X_t) dW_t\), where \(a\) is a bounded analytic function. It is proved that there exists a set \(B\) in the space of trajectories \(C ([0,1])\) of complete \(\mu_X\)-measures such that for any \(y,h \in C ([0,1])\) the set on the line \(\{t : y + th \in B\}\) is at most countable. This means that \(\mu_X\) is located on the exceptional set in the Aronszajn sense.
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diffusion process
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analytic function
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space of trajectories
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exceptional set
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