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Time-changed Feller's Brownian motions are birth-death processes

Authors :
Li, Liping
Publication Year :
2024

Abstract

The main result of this paper demonstrates that every Feller's Brownian motion, specifically, the Brownian motion with general boundary conditions as examined by Ito and McKean, can be transformed into a birth-death process through a time-change. Additionally, we have derived the parameters of the birth-death processes in terms of those associated with Feller's Brownian motion.

Subjects

Subjects :
Mathematics - Probability

Details

Database :
arXiv
Publication Type :
Report
Accession number :
edsarx.2408.09364
Document Type :
Working Paper