If $B$ and $f(B)$ are Brownian motions, then $f$ is affine
2017
It is shown that if the processes $B$ and $f(B)$ are both Brownian motions (without a random time change) then $f$ must be an affine function. As a by-product of the proof, it is shown that the only functions which are solutions to both the Laplace equation and the eikonal equation are affine.
Keywords:
- Correction
- Source
- Cite
- Save
- Machine Reading By IdeaReader
4
References
1
Citations
NaN
KQI