A Levy-type characterization of one-dimensional diffusions

被引：3
|
作者：
Voit, M [1 ]
机构：
[1] Univ Tubingen, Math Inst, D-72076 Tubingen, Germany
来源：
ARCHIV DER MATHEMATIK | 1998年 / 70卷 / 03期
关键词：
Diffusion Process; Differential Operator; Continuous Process; Suitable Solution; Local Martingale;
D O I：
10.1007/s000130050189
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
We present a Levy-type characterization for time-homogeneous diffusion processes on R of the following kind: A continuous process X = (X-t)(t greater than or equal to 0) on R is a diffusion belonging to a second-order differential operator L if and only if the two processes (p(X-t))(t greater than or equal to 0) and (s(X-t)-t)(t greater than or equal to 0) are local martingales where the functions p, s are suitable solutions of Lp = 0 and Ls = 1.
引用
收藏
页码：235 / 238
页数：4
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