Conditioned martingales

DOI10.1214/ECP.V17-1955zbMATH Open1266.60082arXiv1203.2587OpenAlexW3037257595MaRDI QIDQ456281FDOQ456281

Authors: Nicolas Perkowski, Johannes Ruf 

Publication date: 23 October 2012

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

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.

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

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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)

Cited In (8)

• Distribution of the time to explosion for one-dimensional diffusions
• Transient one-dimensional diffusions conditioned to converge to a different limit point
• Path transformations for local times of one-dimensional diffusions
• Supermartingales as Radon-Nikodym densities and related measure extensions
• On the hedging of options on exploding exchange rates
• Title not available (Why is that?)
• Stefan problem with surface tension: uniqueness of physical solutions under radial symmetry
• Uniform convergence of conditional distributions for absorbed one-dimensional diffusions

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