A construction of processes with one dimensional martingale marginals, based upon path-space Ornstein-Uhlenbeck processes and the Brownian sheet

DOI10.1215/KJM/1256219164zbMath1203.60122OpenAlexW1529135606MaRDI QIDQ2654728

Francis Hirsch, Marc Yor

Publication date: 21 January 2010

Published in: Journal of Mathematics of Kyoto University (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.kjm/1256219164

zbMATH Keywords

Brownian sheetinfinitesimal generatorstochastic integral1-martingaleBrownian

Mathematics Subject Classification ID

Random fields (60G60) Brownian motion (60J65) Stochastic integrals (60H05)

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