On a generalization of the theorem of p. levy

DOI10.1080/17442509008833608MaRDI QIDQ3473902zbMATH OpenOpenAlexFDO

Authors H.-J. Engelbert, Wolfgang M. Schmidt

Publication date 1990

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

Full work available at URL https://doi.org/10.1080/17442509008833608

zbMATH Keywords

martingale problemrandom time changecontinuous local martingalestrong Markov processesmartingale characterization of the Brownian motion

Mathematics Subject Classification ID

Diffusion processes (60J60) Brownian motion (60J65) Martingales with continuous parameter (60G44) Local time and additive functionals (60J55) Stochastic integral equations (60H20)

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Cites work

• scientific article; zbMATH DE number 3390061 (Why is no real title available?)
• Changes of time, stochastic integrals, and weak martingales
• Generalized Ito's formula and additive functionals of Brownian motion
• Hitting and martingale characterizations of one-dimensional diffusions
• Integral representation with respect to stopped continuous local martingales
• On solutions of one-dimensional stochastic differential equations without drift
• Semimartingales and Markov processes
• Stochastic Integrals of Continuous Local Martingales, I
• �tude des solutions extr�males et repr�sentation int�grale des solutions pour certains probl�mes de martingales

Cited in

(13)

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• Some remarkable pure martingales
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• scientific article; zbMATH DE number 3342074 (Why is no real title available?)
• Local martingales measures
• A canonical setting and separating times for continuous local martingales
• On the Generalizations of a Theorem of Beppo Levi
• scientific article; zbMATH DE number 4072077 (Why is no real title available?)
• The Levy sections theorem revisited
• On \(L_{p}\)-generalization of a theorem of Adamyan, Arov, and Kreĭn

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