On martingale transformations of multidimensional Brownian motion

DOI10.1016/j.spl.2021.109119zbMath1482.60060arXiv2006.08986OpenAlexW3159127828MaRDI QIDQ2244460

Revaz Tevzadze, Michael Mania

Publication date: 12 November 2021

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2006.08986

zbMATH Keywords

Brownian motionmartingalesfunctional equations

Mathematics Subject Classification ID

Brownian motion (60J65) Martingales with continuous parameter (60G44)

Related Items (2)

Martingale transformations of Brownian motion with application to functional equations ⋮ For which functions are 𝑓(𝑋_{𝑡})-𝔼𝕗(𝕏_{𝕥}) and 𝕘(𝕏_{𝕥})/𝔼𝕘(𝕏_{𝕥}) martingales?

Cites Work

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• Semimartingales and Markov processes
• Generalized Ito's formula and additive functionals of Brownian motion
• On Cauchy's Functional Equation
• On almost additive functions

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