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Comparison results for diffusions conditioned on positivity

  • Martin V. Day (a1)

Abstract

We consider a diffusion process on the reals subject to the conditional probability that the process is positive from t = 0 to the present. We establish comparison results between the conditioned diffusion and a second unconditioned Markov diffusion. One result allows the initial process to be non-Markov before conditioning. A stronger comparison theorem is shown to hold in the Markov case.

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Postal address: Department of Mathematics, Virginia Polytechnic Institute and State University, Blacksburg, VA 24061, U.S.A.

References

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Comparison results for diffusions conditioned on positivity

  • Martin V. Day (a1)

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