A continuous non-Brownian motion martingale with Brownian motion marginal distributions (Q2483440): Difference between revisions

From MaRDI portal
Added link to MaRDI item.
ReferenceBot (talk | contribs)
Changed an Item
 
(2 intermediate revisions by 2 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/j.spl.2007.09.031 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2171484326 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Extremes of diffusions over fixed intervals / rank
 
Normal rank
Property / cites work
 
Property / cites work: Diffusion-type models with given marginal distribution and autocorrelation function / rank
 
Normal rank
Property / cites work
 
Property / cites work: Factorization theory for probability distributions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Arbitrage and completeness in financial markets with given \(N\)-dimensional distributions / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Theory of the Term Structure of Interest Rates / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5820721 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5824493 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5827353 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Two singular diffusion problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: On nonexistence of non-constant volatility in the Black-Scholes formula / rank
 
Normal rank
Property / cites work
 
Property / cites work: A family of non-Gaussian martingales with Gaussian marginals / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4002114 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Markov-Komposition und eine Anwendung auf Martingale. (Markov compositions and an application to martingales) / rank
 
Normal rank
Property / cites work
 
Property / cites work: Making Markov martingales meet marginals: With explicit constructions / rank
 
Normal rank
Property / cites work
 
Property / cites work: HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACK-MERTON-SCHOLES? / rank
 
Normal rank

Latest revision as of 22:25, 27 June 2024

scientific article
Language Label Description Also known as
English
A continuous non-Brownian motion martingale with Brownian motion marginal distributions
scientific article

    Statements

    A continuous non-Brownian motion martingale with Brownian motion marginal distributions (English)
    0 references
    0 references
    28 April 2008
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    Brownian motion
    0 references
    diffusion process
    0 references
    martingale
    0 references
    martingale problem
    0 references
    0 references