How to cite item

Conditioned martingales

   
@article{ECP1955,
	author = {Nicolas Perkowski and Johannes Ruf},
	title = {Conditioned martingales},
	journal = {Electron. Commun. Probab.},
	fjournal = {Electronic Communications in Probability},
	volume = {17},
	year = {2012},
	keywords = {Doob’s h-transform; change of measure; upward conditioning; downward conditioning; local martingale; diffusion; nullset; Bessel process},
	abstract = {
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. 
},
	pages = {no. 48, 1-12},
	issn = {1083-589X},
	doi = {10.1214/ECP.v17-1955},    
        url = {http://ecp.ejpecp.org/article/view/1955}}