On Drifting Brownian Motion Made Periodic

DOI10.1007/978-3-319-92420-5_9zbMath1454.60126OpenAlexW2885290151MaRDI QIDQ5126595

Paul McGill

Publication date: 20 October 2020

Published in: Séminaire de Probabilités XLIX (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-92420-5_9

zbMATH Keywords

Girsanov formuladrifting Brownian motionapproximate bridgecircular measure

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20)

Related Items (1)

Absolute continuity of diffusion bridges

Cites Work

• KdV preserves white noise
• Absolute continuity of Brownian bridges under certain gauge transformations
• A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT
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