Limits of one-dimensional diffusions

DOI10.1214/08-AOP397zbMath1210.60087arXiv0712.2428MaRDI QIDQ1011152

George Lowther

Publication date: 8 April 2009

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0712.2428

zbMATH Keywords

diffusionmartingalefinite-dimensional distributionsstrong Markov

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Diffusion processes (60J60) Limit theorems in probability theory (60F99)

Related Items (11)

Comparing Brownian Stochastic Integrals for the Convex Order ⋮ Stability of the weak martingale optimal transport problem ⋮ Faking Brownian motion with continuous Markov martingales ⋮ The Riesz representation theorem and weak\(^\ast\) compactness of semimartingales ⋮ Martingale Benamou-Brenier: a probabilistic perspective ⋮ Martingales associated to peacocks using the curtain coupling ⋮ Peacocks nearby: approximating sequences of measures ⋮ Hypoelliptic heat kernels on infinite-dimensional Heisenberg groups ⋮ The Markov-quantile process attached to a family of marginals ⋮ Root to Kellerer ⋮ Kellerer’s Theorem Revisited

Cites Work

• Tightness criteria for laws of semimartingales
• Volatility misspecification, option pricing and superreplication via coupling
• The application of the research work of James Clerk Maxwell in electromagnetics to industrial frequency problems
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