Abstract
We give necessary and sufficient conditions that a time change of ann-dimensional Ito stochastic integralX t of the form
leads to a process with the same law as a diffusionY t of the form
where the generatorA ofY t is assumed to have a unique solution of the martingale problem. The result has applications to conformal martingales in ℂn and harmonic morphisms.
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Øksendal, B. When is a stochastic integral a time change of a diffusion?. J Theor Probab 3, 207–226 (1990). https://doi.org/10.1007/BF01045159
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DOI: https://doi.org/10.1007/BF01045159