Journal article
The Wronskian parameterizes the class of diffusions with a given distribution at a random time
- Abstract:
- We provide a complete characterization of the class of one-dimensional time-homogeneous diffusions consistent with a given law at an exponentially distributed time using classical results in diffusion theory. To illustrate we characterize the class of diffusions with the same distribution as Brownian motion at an exponentially distributed time.
- Publication status:
- Published
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- Publisher copy:
- 10.1214/ECP.v17-1976
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Authors
Bibliographic Details
- Journal:
- ELECTRONIC COMMUNICATIONS IN PROBABILITY
- Volume:
- 17
- Issue:
- 0
- Pages:
- 1-8
- Publication date:
- 2012-06-03
- DOI:
- EISSN:
-
1083-589X
- ISSN:
-
1083-589X
- Source identifiers:
-
369820
Item Description
- Language:
- English
- Keywords:
- Pubs id:
-
pubs:369820
- UUID:
-
uuid:1ea751e5-619f-48fe-9f0b-4254a428261b
- Local pid:
- pubs:369820
- Deposit date:
- 2013-11-16
Terms of use
- Copyright date:
- 2012
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