A property of distributions of diffusion processes

DOI10.1007/BF01209560MaRDI QIDQ1337879zbMATH OpenOpenAlexFDO

Authors N. A. Tolmachev

Publication date 16 November 1994

Published in Mathematical Notes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf01209560

zbMATH Keywords

analytic functiondiffusion processexceptional setspace of trajectories

Mathematics Subject Classification ID

Probabilistic measure theory (60A10) Diffusion processes (60J60)

Review text

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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Cites work

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• scientific article; zbMATH DE number 3886816 (Why is no real title available?)
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(7)

• A property of distributions of a class of recursively defined stochastic processes
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• Properties of diffusion processes determined by a general lateral condition

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