Some Distributional Properties of a Brownian Motion with a Drift and an Extension of P. Lévy's Theorem
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Publication:2711133
DOI10.1137/S0040585X97977689zbMath0974.60058OpenAlexW2071112160MaRDI QIDQ2711133
Albert N. Shiryaev, Alexander S. Cherny
Publication date: 2 May 2001
Published in: Theory of Probability & Its Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0040585x97977689
local timeBrownian motion with driftLévy's theoremconditionally Gaussian martingalesSkorokhod's lemma
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Local time and additive functionals (60J55)
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