The Wronskian parameterizes the class of diffusions with a given distribution at a random time
classification
🧮 math.PR
q-fin.PR
keywords
classdiffusionstimedistributeddistributionexponentiallygivenbrownian
read the original 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.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.