On a generalization of the theorem of p. levy

DOI10.1080/17442509008833608zbMATH Open0697.60049OpenAlexW1986055706MaRDI QIDQ3473902FDOQ3473902

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

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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)

Cites Work

• Title not available (Why is that?)
• On solutions of one-dimensional stochastic differential equations without drift
• Semimartingales and Markov processes
• �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
• Stochastic Integrals of Continuous Local Martingales, I
• Hitting and martingale characterizations of one-dimensional diffusions
• Integral representation with respect to stopped continuous local martingales
• Changes of time, stochastic integrals, and weak martingales

Cited In (13)

• Title not available (Why is that?)
• Some remarkable pure martingales
• Title not available (Why is that?)
• Local martingales measures
• On \(L_{p}\)-generalization of a theorem of Adamyan, Arov, and Kreĭn
• A canonical setting and separating times for continuous local martingales
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• On the Generalizations of a Theorem of Beppo Levi
• The Levy sections theorem revisited
• Title not available (Why is that?)

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