On the Markov property of some Brownian martingales (Q449234): Difference between revisions
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Property / author: Fima C. Klebaner / rank | |||
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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 \(H_n(B_t, t)\). | |||
Property / review text: 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 \(H_n(B_t, t)\). / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60G44 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60G18 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60J25 / rank | |||
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Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6081500 / rank | |||
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Property / zbMATH Keywords | |||
Brownian martingales | |||
Property / zbMATH Keywords: Brownian martingales / rank | |||
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Hermite polynomials | |||
Property / zbMATH Keywords: Hermite polynomials / rank | |||
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Property / zbMATH Keywords | |||
Markov property | |||
Property / zbMATH Keywords: Markov property / rank | |||
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selfsimilar martingales | |||
Property / zbMATH Keywords: selfsimilar martingales / rank | |||
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Revision as of 09:53, 30 June 2023
scientific article
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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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