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The Characterization Of Feller Brownian Motion

Posted on:2007-10-19Degree:MasterType:Thesis
Country:ChinaCandidate:H X DuFull Text:PDF
GTID:2120360185972172Subject:Basic mathematics
Abstract/Summary:PDF Full Text Request
In this paper we present Feller-Brownian motion. Feller-Brownian motion is not only a special diffusion process but also a particular example of excursion theory, and it is defined by excursion theory. First, we present the relationship of two loal time for standard Brow-nian motion. Second, we describe the excursion structure of Feller-Brownian motion and construct Brownian motion which is based on the Feller-Brownian motion .Furthermore, we present the result of Feller-Brownian motion which is similar to the Tanaka formula of Brownian motion.
Keywords/Search Tags:Feller-Brownian motion, Tanaka formula, Local time, Poisson point process, Excursion measure, Drift coefficient, Martingale problem
PDF Full Text Request
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