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Markov functions of a time-changed recurrent diffusion

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Let (X t ,P x ) be a recurrent diffusion on the state spaceE. A necessary and sufficient condition on the continuous functionu:ER is given so thatu is a Markov function for a time-changed diffusionX τ. It is shown that no nonconstant continuous real-valued function is Markov for a Brownian motion on the Sierpinski gasket.

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Vondraček, Z. Markov functions of a time-changed recurrent diffusion. J Theor Probab 6, 485–497 (1993). https://doi.org/10.1007/BF01066714

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Key Words

  • Markov functions
  • diffusions
  • time-change
  • Brownian motion on the Sierpinski gasket