A Brownian sheet martingale with the same marginals as the arithmetic average of geometric Brownian motion
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Publication:1039155
DOI10.1214/EJP.v14-674zbMath1201.60033MaRDI QIDQ1039155
Publication date: 20 November 2009
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/229218
60G60: Random fields
60J65: Brownian motion
60G44: Martingales with continuous parameter
60G07: General theory of stochastic processes