On weak Brownian motions of arbitrary order

DOI10.1016/S0246-0203(00)00133-3MaRDI QIDQ1584871zbMATH OpenOpenAlexFDO

Authors Hans Föllmer, Ching-Tang Wu, Marc Yor

Publication date 6 February 2001

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL http://www.numdam.org/item?id=AIHPB_2000__36_4_447_0, https://eudml.org/doc/77668

zbMATH Keywords

Brownian motionmarginal distributionsVolterra kernelweak Brownian motionWiener measure

Mathematics Subject Classification ID

Volterra integral equations (45D05) Gaussian processes (60G15) Generalizations of martingales (60G48) Brownian motion (60J65)

Review text

A weak Brownian motion of order \(k\) is a stochastic process having the same \(k\)-dimensional marginals as Brownian motion. The authors prove the existence of continuous weak Brownian motions of any order; this is done with the corresponding law on Wiener space both equivalent or singular to Wiener measure. Moreover, they show that there are even weak Brownian motions whose law coincides with Wiener measure outside of any interval of length \(\varepsilon\).

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