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Functions of ann-dimensional Brownian motion that are Markovian

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Abstract

Letf be a continuous function fromR n toR and letX(t)=(X 1 (t), …, X n (t)) be a Brownian motion onR n. The explicit form off necessary in order to makef(X(t)) a Markov process is determined.

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Authors and Affiliations

  1. Department of Mathematics, University of Southern California, 90007, Los Angeles, California, USA

    Albert T. Wang & Chang Shing Chen

  2. Department of Mathematics, University of Tennessee, 37916, Knoxville, Tennessee, USA

    Albert T. Wang & Chang Shing Chen

  3. Department of Mathematics, University of Wisconsin, P.O. Box 413, 53201, Milwaukee, Wisconsin, USA

    Albert T. Wang & Chang Shing Chen

Authors
  1. Albert T. Wang
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  2. Chang Shing Chen
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Wang, A.T., Chen, C.S. Functions of ann-dimensional Brownian motion that are Markovian. Israel J. Math. 34, 343–352 (1979). https://doi.org/10.1007/BF02760613

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  • DOI: https://doi.org/10.1007/BF02760613

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