Boundary-Crossing Identities for Diffusions Having the Time-Inversion Property
نویسندگان
چکیده
منابع مشابه
Boundary Crossing Identities for Diffusions Having the Time Inversion Property
We review and study a one-parameter functional transformation, denoted by (S)β∈R, which allow, in the case β < 0, to provide a path realization of bridges of the family of diffusion processes which enjoy the time inversion property. This family includes the Brownian motion, the family of Bessel processes with a positive dimension and their conservative h-transforms. By means of these transforma...
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ژورنال
عنوان ژورنال: Journal of Theoretical Probability
سال: 2009
ISSN: 0894-9840,1572-9230
DOI: 10.1007/s10959-009-0245-3