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Comparison results for diffusions conditioned on positivity
Published online by Cambridge University Press: 14 July 2016
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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- Copyright © Applied Probability Trust 1983
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