English

On inversions and Doob $h$-transforms of linear diffusions

Probability 2015-01-14 v3

Abstract

Let XX be a regular linear diffusion whose state space is an open interval ERE\subseteq\mathbb{R}. We consider a diffusion XX^* which probability law is obtained as a Doob hh-transform of the law of XX, where hh is a positive harmonic function for the infinitesimal generator of XX on EE. This is the dual of XX with respect to h(x)m(dx)h(x)m(dx) where m(dx)m(dx) is the speed measure of XX. Examples include the case where XX^* is XX conditioned to stay above some fixed level. We provide a construction of XX^* as a deterministic inversion of XX, time changed with some random clock. The study involves the construction of some inversions which generalize the Euclidean inversions. Brownian motion with drift and Bessel processes are considered in details.

Keywords

Cite

@article{arxiv.1209.5322,
  title  = {On inversions and Doob $h$-transforms of linear diffusions},
  author = {L. Alili and P. Graczyk and T. Zak},
  journal= {arXiv preprint arXiv:1209.5322},
  year   = {2015}
}

Comments

19 pages

R2 v1 2026-06-21T22:10:09.105Z