On inversions and Doob $h$-transforms of linear diffusions

Let $X$ be a regular linear diffusion whose state space is an open interval $E\subseteq\mathbb{R}$. We consider a diffusion $X^$ which probability law is obtained as a Doob $h$-transform of the law of $X$, where $h$ is a positive harmonic function for the infinitesimal generator of $X$ on $E$. This is the dual of $X$ with respect to $h(x)m(dx)$ where $m(dx)$ is the speed measure of $X$. Examples include the case where $X^$ is $X$ conditioned to stay above some fixed level. We provide a construction of $X^*$ as a deterministic inversion of $X$, time changed with some random clock. The study involves the construction of some inversions which generalize the Euclidean inversions. Brownian motion with drift and Bessel processes are considered in details.

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Source https://hal.science/hal-00735182
Author Alili, Larbi, Graczyk, Piotr, Zak, Tomasz
Maintainer CCSD
Last Updated October 31, 2026, 09:09 (UTC)
Created October 31, 2026, 09:09 (UTC)
Identifier hal-00735182
Language en
Rights https://about.hal.science/hal-authorisation-v1/
contributor Department of Statistics [Warwick] ; University of Warwick [Coventry]
creator Alili, Larbi
date 2012-09-24T00:00:00
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harvest_source_title test moissonnage SELUNE
metadata_modified 2026-02-23T00:00:00
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