| Université Paris 6 Pierre et Marie Curie | Université Paris 7 Denis Diderot | |
| CNRS U.M.R. 7599 | ||
| ``Probabilités et Modèles Aléatoires'' | ||
Auteur(s):
Code(s) de Classification MSC:
Résumé: We introduce here a class of processes which generalize the\textit{\ }Bessel processes with drift $\uparrow $ and $\downarrow $ introduced by S. Watanabe and further studied by J.W. Pitman and M. Yor. We show that for these processes there is a Lamperti representation defining a new class of ''exponential processes'' $X$ for which the process $\frac{\langle X\rangle }{X}$ is a diffusion in its own filtration.
Mots Clés: Bessel processes with drift ; Lamperti relations ; Exponential analogue of the $2M-X$ Pitman's theorem
Date: 2001-02-09
Prépublication numéro: PMA-637