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Time-changed Feller's Brownian motions are birth-death processes

Published 18 Aug 2024 in math.PR | (2408.09364v1)

Abstract: The main result of this paper demonstrates that every Feller's Brownian motion, specifically, the Brownian motion with general boundary conditions as examined by Ito and McKean, can be transformed into a birth-death process through a time-change. Additionally, we have derived the parameters of the birth-death processes in terms of those associated with Feller's Brownian motion.

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