One-dimensional scale invariant diffusions

DOI10.1080/17442500008834248MaRDI QIDQ4504925zbMATH OpenOpenAlexFDO

Authors Richard Dante DeBlassie

Publication date 13 June 2001

Published in Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442500008834248

zbMATH Keywords

Bessel processdiffusionscale

Mathematics Subject Classification ID

Diffusion processes (60J60)

Review text

A one-dimensional diffusion is scale invariant if the processes \(X^x(\cdot)\) and \(CX^{x/c}(\overline C^2\cdot)\) are equivalent in law. The main result is: A scale invariant diffusion in \((0,\infty)\) (having a few exceptions) is a constant multiple of some Bessel process.

Recommendations

• scientific article; zbMATH DE number 1240554
• Characterising One-Dimensional Diffusions using Stochastic Calculus
• The invariant distribution of a diffusion: some new aspects
• Scale-invariant diffusions: Transience and non-polar points
• A classification of diffusion processes with boundaries by their invariant measures

Cited in

(6)

• Change of drift in one-dimensional diffusions
• Kemeny's constant for one-dimensional diffusions
• scientific article; zbMATH DE number 4034813 (Why is no real title available?)
• scientific article; zbMATH DE number 1240554 (Why is no real title available?)
• scientific article; zbMATH DE number 2222925 (Why is no real title available?)
• Generating integrable one dimensional driftless diffusions

This page was built for publication: One-dimensional scale invariant diffusions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4504925)