On a generalization of the theorem of p. levy

DOI10.1080/17442509008833608zbMath0697.60049MaRDI QIDQ3473902

Hans-Jürgen 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

random time change; martingale problem; continuous local martingale; strong Markov processes; martingale characterization of the Brownian motion

Mathematics Subject Classification ID

60J65: Brownian motion

60G44: Martingales with continuous parameter

60J60: Diffusion processes

60J55: Local time and additive functionals

60H20: Stochastic integral equations

Related Items

A canonical setting and separating times for continuous local martingales

Cites Work

• Unnamed Item
• On solutions of one-dimensional stochastic differential equations without drift
• Integral representation with respect to stopped continuous local martingales
• Semimartingales and Markov processes
• Stochastic Integrals of Continuous Local Martingales, I
• [https://portal.mardi4nfdi.de/wiki/Publication:4115871 �tude des solutions extr�males et repr�sentation int�grale des solutions pour certains probl�mes de martingales]
• Generalized Ito's formula and additive functionals of Brownian motion
• Hitting and martingale characterizations of one-dimensional diffusions
• Changes of time, stochastic integrals, and weak martingales