Time-dependent Functions of Brownian Motion that are Markovian
Wang, Albert T.
Ann. Probab., Tome 7 (1979) no. 6, p. 515-525 / Harvested from Project Euclid
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The class of continuous functions $f(t, x)$ for which $f(t, X(t))$ are Markov processes is explicitly determined, where $X(t)$ is a Brownian motion on the real line. This extends a result by Walsh.
Publié le : 1979-06-14
Classification:  Brownian motion,  Markov processes,  60J25,  60J65 
@article{1176995051,
     author = {Wang, Albert T.},
     title = {Time-dependent Functions of Brownian Motion that are Markovian},
     journal = {Ann. Probab.},
     volume = {7},
     number = {6},
     year = {1979},
     pages = { 515-525},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176995051}
}

Wang, Albert T. Time-dependent Functions of Brownian Motion that are Markovian. Ann. Probab., Tome 7 (1979) no. 6, pp.  515-525. http://gdmltest.u-ga.fr/item/1176995051/