Abstract
Letbe a one-dimensional Brownian motion with constant driftµ∈ R starting from 0. In this paper we show thatgives rise to a diffusion process and we explain how this result may be considered as an extension of the celebrated Pitman’s2M - Xtheorem. We also derive the infinitesimal generator and some properties of the diffusion processand, in particular, its relation to the generalized Bessel processes.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
