On the Markov property of some Brownian martingales (Q449234): Difference between revisions
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Revision as of 21:12, 19 March 2024
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English | On the Markov property of some Brownian martingales |
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On the Markov property of some Brownian martingales (English)
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12 September 2012
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The authors study the Markovian property of a family of functionals of the Wiener process. Precisely, let \(H_n(z,a)= a^{n/2}h_n (z/\sqrt{a})\) and \(H_n (z,0)= z^n\), where \(h_n\) are the Hermite polynomials. Studying the natural filtration of the processes \(H_n(B_t, t) \), they prove that these processes are not Markovian for \(n\geq 3\). They also give a brief discussion on mimicking these self-similar processes in the sense of constructing martingales whose marginal distributions match those of \(H_n(B_t, t)\).
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Brownian martingales
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Hermite polynomials
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Markov property
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selfsimilar martingales
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