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The Wronskian parameterizes the class of diffusions with a given distribution at a random time

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  • Martin Klimmek

Abstract

We provide a complete characterization of the class of one-dimensional time-homogeneous diffusions consistent with a given law at an exponentially distributed time using classical results in diffusion theory. To illustrate we characterize the class of diffusions with the same distribution as Brownian motion at an exponentially distributed time.

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  • Martin Klimmek, 2012. "The Wronskian parameterizes the class of diffusions with a given distribution at a random time," Papers 1206.0482, arXiv.org, revised Jun 2012.
    • Handle: RePEc:arx:papers:1206.0482
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    1. Breeden, Douglas T & Litzenberger, Robert H, 1978. "Prices of State-contingent Claims Implicit in Option Prices," The Journal of Business, University of Chicago Press, vol. 51(4), pages 621-651, October.
    2. Hardy Hulley & Eckhard Platen, 2009. "A Visual Criterion for Identifying Ito Diffusions as Martingales or Strict Local Martingales," Research Paper Series 263, Quantitative Finance Research Centre, University of Technology, Sydney.
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