Faking Brownian motion with continuous Markov martingales (Q6181521)

The authors consider the problem of constructing martingales with one-dimensional Brownian marginals that differ from Brownian motion, so-called fake Brownian motions. This is related to fitting problem in mathematical finance where the task is to construct martingales that satisfy marginal constraints imposed by market data. Brownian motion is the unique continuous strong Markov martingale with one-dimensional Brownian marginals. The authors construct examples of a ``barely fake'' Brownian motion, that is, continuous Markov martingales with one-dimensional Brownian marginals that miss out only on the strong Markov property.