Can time-homogeneous diffusions produce any distribution? (Q1950378)
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scientific article; zbMATH DE number 6162380
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| English | Can time-homogeneous diffusions produce any distribution? |
scientific article; zbMATH DE number 6162380 |
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Can time-homogeneous diffusions produce any distribution? (English)
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13 May 2013
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A scalar generalized diffusion is constructed by random time change of a scalar Brownian motion which depends on a prescribed non-negative `speed' measure. For a probability measure on line with finite mean, a speed measure can be chosen so that the corresponding generalized diffusion is a martingale whose time one distribution is the given probability measure. The proof is based on a construction for finitely supported speed measures, followed by a limiting argument for the general case. Application to an inverse problem in mathematical finance is given, followed by a characterization of speed measures which lead to generalized diffusions that are local martingales.
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generalized diffusions
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speed measure
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continuous time martingales
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random time change
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0.7991454005241394
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0.7435525059700012
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0.7201290726661682
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0.7133602499961853
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0.7128443121910095
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