Pitman type theorem for one-dimensional diffusion processes (Q756290): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.3836/tjm/1270132272 / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W1982382435 / rank | |||
Normal rank |
Latest revision as of 01:55, 20 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Pitman type theorem for one-dimensional diffusion processes |
scientific article |
Statements
Pitman type theorem for one-dimensional diffusion processes (English)
0 references
1990
0 references
For a regular diffusion X in \({\mathbb{R}}\) starting from 0 with generator \({\mathcal L}=d/dm\cdot d/ds\), \(s(0)=0\), and for any fixed \(r>0\), define \[ \tau_ 1=\inf \{t>0:\;X(t)=r\},\;\tau_ 2=\sup \{t>0:\;X(t)=0,\;t<\tau_ 1\}. \] Then Williams' theorem states that \(\{X(\tau_ 2+t):\) \(0\leq t\leq \tau_ 1-\tau_ 2\}\) is identical in distribution to \(\{\tilde X(t):\;0\leq t\leq \tau \},\) where \(\tilde X\) is a diffusion process starting from 0 with generator \(\tilde {\mathcal L}f=(1/s){\mathcal L}(sf)\) and \(\tau =\inf \{t>0:\;\tilde X(t)=r\}.\) In the case where X is a one-dimensional Brownian motion B with \(B(0)=0\), \(\tilde X\) is a Bessel process with index 3 (the radial part of a three-dimensional Brownian motion) and Pitman proved that \[ (*)\;\{\tilde X(t),\;t\geq 0\}=^{d}\{B(t)=2L(t),\;t\geq 0\},\;L(t)=-\min_{0\leq u\leq t}B(u), \] where \(=^{d}\) means the equality in distribution. In this paper we consider the case where X is the one-dimensional diffusion process defined by the stochastic differential equation \[ X(t)=\int^{t}_{0}\sigma (X(u))dB(u)+\int^{t}_{0}b(X(u))du, \] and will prove that \(\tilde X\) admits a representation similar to (*).
0 references
regular diffusion
0 references
Bessel process
0 references
stochastic differential equation
0 references