| Título: | Conditioned martingales |
| Autores: |
Perkowski, Nicolas; Humboldt-Universität zu Berlin Ruf, Johannes; University of Oxford |
| Fecha: | 2012-01-02 |
| Publicador: | Electronic communications in probability |
| Fuente: |
 |
| Tipo: | Peer-reviewed Article |
| Tema: |
Doob’s h-transform; change of measure; upward conditioning; downward conditioning; local martingale; diffusion; nullset; Bessel process 60G44; 60H99; 60J60 |
| Descripción: | 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. |
| Idioma: | Inglés |
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