Markov or non-Markov property of cM - X processes
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概要
- 論文の詳細を見る
For a Brownian motion with a constant drift X and its maximum process M, M-X and 2M-X are diffusion processes by the extensions of Lévys and Pitmans theorems. We show that cM-X is not a Markov process if c∈ \bm{R}\backslash{0, 1, 2}. We also give other elementary proofs of Lévys and Pitmans theorems.
- 社団法人 日本数学会の論文
- 2004-04-01
著者
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Ogura Yukio
Department Of Mathematics Saga University
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Ogura Yukio
Department Of Applied Science Faculty Of Engineering Kyushu University
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MATSUMOTO Hiroyuki
Graduate School of Human Informatics Nagoya University
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Matsumoto Hiroyuki
Graduate School Of Engineering Yokohama National University:information & Security Systems Divis
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