Functions of Brownian motion
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- by John B. Walsh PDF
- Proc. Amer. Math. Soc. 49 (1975), 227-231 Request permission
Abstract:
The class of continuous functions $h$ for which $h$ (Brownian motion) is a Markov process is determined.References
- R. M. Dudley, Non-linear equivalence transformations of Brownian motion, Z. Wahrscheinlichkeitstheorie und Verw. Gebiete 20 (1971), 249–258. MR 307365, DOI 10.1007/BF00538371
- E. B. Dynkin, Markovskie protsessy, Gosudarstv. Izdat. Fiz.-Mat. Lit., Moscow, 1963 (Russian). MR 0193670
- Kiyoshi Itô and Henry P. McKean Jr., Diffusion processes and their sample paths, Die Grundlehren der mathematischen Wissenschaften, Band 125, Academic Press, Inc., Publishers, New York; Springer-Verlag, Berlin-New York, 1965. MR 0199891
- M. Rosenblatt, Functions of a Markov process that are Markovian, J. Math. Mech. 8 (1959), 585–596. MR 0103539, DOI 10.1512/iumj.1959.8.58039
Additional Information
- © Copyright 1975 American Mathematical Society
- Journal: Proc. Amer. Math. Soc. 49 (1975), 227-231
- MSC: Primary 60J65
- DOI: https://doi.org/10.1090/S0002-9939-1975-0362520-3
- MathSciNet review: 0362520