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The Wronskian parametrises the class of diffusions with a given distribution at a random time


 
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1. Title Title of document The Wronskian parametrises the class of diffusions with a given distribution at a random time
 
2. Creator Author's name, affiliation, country Martin Klimmek; University of Oxford; United Kingdom
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Diffusion; inverse problem; h-transform; local-martingale; exponential time
 
3. Subject Subject classification 60J60; 60J55
 
4. Description Abstract We provide a complete characterisation 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 characterise the class of diffusions with the same  distribution as Brownian motion at an exponentially distributed time.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2012-10-09
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/1976
 
10. Identifier Digital Object Identifier 10.1214/ECP.v17-1976
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 17
 
12. Language English=en en
 
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