Fake exponential Brownian motion

DOI10.1016/J.SPL.2013.06.030MaRDI QIDQ2435766zbMATH OpenOpenAlexFDO

Authors David Hobson

Publication date 19 February 2014

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

Full work available at URL https://arxiv.org/abs/1210.1391

zbMATH Keywords

Dupire's formulaexponential Brownian motionfake diffusion

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Diffusion processes (60J60) Brownian motion (60J65)

Abstract: We construct a fake exponential Brownian motion, a continuous martingale different from classical exponential Brownian motion but with the same marginal distributions, thus extending results of Albin and Oleszkiewicz for fake Brownian motions. The ideas extend to other diffusions.

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Cited in

(7)

• The Markov-quantile process attached to a family of marginals
• From Bachelier to Dupire via optimal transport
• Faking Brownian motion with continuous Markov martingales
• On Dupire formula and diffusion with given marginals
• Hölder regularity and roughness: construction and examples
• An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint
• On fake Brownian motions

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