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

Martin Klimmek (University of Oxford)

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.

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Pages: 1-8

Publication Date: October 9, 2012

DOI: 10.1214/ECP.v17-1976

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