Comparison results for diffusions conditioned on positivity
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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.
2017 ◽
Vol 20
(3)
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pp. 1-35
2009 ◽
Vol 353
(1)
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pp. 154-160
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2007 ◽
Vol 10
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pp. 613-631
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2016 ◽
Vol 449
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pp. 301-310
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2019 ◽
Vol 4
(6)
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pp. 1311-1315
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