Brownian Motion and Doob's H-Transforms

Current Topics Seminar

Speaker	Andrey Sarantsev
Title	Brownian Motion and Doob's H-Transforms
Date	November 3, 4:00pm PDL C-36

Brownian motion is the most important random process in probability theory. Consider a Brownian motion conditioned to exit from a domain or to be at some point at a certain time, or after a certain time. The new process satisfies a stochastic differential equation. We can write this equation using techniques of Doob's h-transforms. .