On the Markov property of some Brownian martingales (Q449234)

The authors study the Markovian property of a family of functionals of the Wiener process. Precisely, let \(H_n(z,a)= a^{n/2}h_n (z/\sqrt{a})\) and \(H_n (z,0)= z^n\), where \(h_n\) are the Hermite polynomials. Studying the natural filtration of the processes \(H_n(B_t, t) \), they prove that these processes are not Markovian for \(n\geq 3\). They also give a brief discussion on mimicking these self-similar processes in the sense of constructing martingales whose marginal distributions match those of \(H_n(B_t, t)\).