Characterizing all diffusions with the 2M-X property

DOI10.1214/AOP/1176994362MaRDI QIDQ1154744zbMATH OpenOpenAlexFDO

Authors L. C. G. Rogers

Publication date 1981

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aop/1176994362

zbMATH Keywords

Bessel processpath decompositionMarkov kernelspeed measure

Mathematics Subject Classification ID

Diffusion processes (60J60) Brownian motion (60J65) Continuous-time Markov processes on general state spaces (60J25) Transition functions, generators and resolvents (60J35)

Cited in

(5)

• A variant of Pitman's theorem on \((2J_s-R_s,s\geq 0)\) for a general transient Bessel process \(R_{(+)}\) and its implications for the corresponding Ito's measure \(\mathbf n_{(-)}\)
• Mixing markovian laws; with an application to path decompositions^†
• Some penalisations of the Wiener measure
• Bi-infinite solutions for KdV- and Toda-type discrete integrable systems based on path encodings
• Discrete integrable systems and Pitman's transformation

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