Conditioned martingales

DOI10.1214/ECP.V17-1955MaRDI QIDQ456281zbMATH OpenOpenAlexFDO

Authors Nicolas Perkowski, Johannes Ruf

Publication date 23 October 2012

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1203.2587

zbMATH Keywords

diffusionchange of measureBessel processlocal martingaleDoob's \(H\)-transformdownward conditioningnullsetupward conditioning

Mathematics Subject Classification ID

Diffusion processes (60J60) Martingales with continuous parameter (60G44) Stochastic analysis (60H99)

Abstract: It is well known that upward conditioned Brownian motion is a three-dimensional Bessel process, and that a downward conditioned Bessel process is a Brownian motion. We give a simple proof for this result, which generalizes to any continuous local martingale and clarifies the role of finite versus infinite time in this setting. As a consequence, we can describe the law of regular diffusions that are conditioned upward or downward.

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