On inversions and Doob $h$-transforms of linear diffusions
Probability
2015-01-14 v3
Abstract
Let be a regular linear diffusion whose state space is an open interval . We consider a diffusion which probability law is obtained as a Doob -transform of the law of , where is a positive harmonic function for the infinitesimal generator of on . This is the dual of with respect to where is the speed measure of . Examples include the case where is conditioned to stay above some fixed level. We provide a construction of as a deterministic inversion of , 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.
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