The PDF file you selected should load here if your Web browser has a PDF reader plug-in installed (for example, a recent version of Adobe Acrobat Reader).

Alternatively, you can also download the PDF file directly to your computer, from where it can be opened using a PDF reader. To download the PDF, click the Download link below.

If you would like more information about how to print, save, and work with PDFs, Highwire Press provides a helpful Frequently Asked Questions about PDFs.

Download this PDF file Fullscreen Fullscreen Off

References

  • Cox, Alexander M. G.; Hobson, David; Obłój, Jan. Time-homogeneous diffusions with a given marginal at a random time. ESAIM Probab. Stat. 15 (2011), In honor of Marc Yor, suppl., S11--S24. MR2817342
  • Dynkin, E. B. The exit space of a Markov process. (Russian) Uspehi Mat. Nauk 24 1969 no. 4 (148) 89--152. MR0264768
  • E. Ekström, D. Hobson, S. Janson, and J. Tysk, phCan time-homogeneous diffusions produce any distribution?, Probability theory and related fields, Forthcoming, DOI: 10.1007/s00440-011-0405-0.
  • Hobson, David; Klimmek, Martin. Constructing time-homogeneous generalized diffusions consistent with optimal stopping values. Stochastics 83 (2011), no. 4-6, 477--503. MR2842591
  • Hulley, Hardy; Platen, Eckhard. A visual criterion for identifying Itô diffusions as martingales or strict local martingales. Seminar on Stochastic Analysis, Random Fields and Applications VI, 147--157, Progr. Probab., 63, Birkhäuser/Springer Basel AG, Basel, 2011. MR2857023
  • Kotani, Shinichi. On a condition that one-dimensional diffusion processes are martingales. In memoriam Paul-André Meyer: Séminaire de Probabilités XXXIX, 149--156, Lecture Notes in Math., 1874, Springer, Berlin, 2006. MR2276894
  • L.C.G. Rogers and D. Williams, phDiffusions, Markov Processes and Martingales, vol. 2, Cambridge University Press, 2000.
  • Salminen, P. Optimal stopping of one-dimensional diffusions. Math. Nachr. 124 (1985), 85--101. MR0827892


Creative Commons License
This work is licensed under a Creative Commons Attribution 3.0 License.