Functional equations and martingales

DOI10.1007/S00010-021-00807-9MaRDI QIDQ2118164zbMATH OpenOpenAlexFDO

Authors L. Tikanadze, M. Mania

Publication date 22 March 2022

Published in Aequationes Mathematicae (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1912.06299

zbMATH Keywords

Brownian martingalesfunctional equationsmartingales

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Brownian motion (60J65)

Abstract: We consider functional equations (Cauchy's, Abel's and some other functional equations) and show that to find general solution of these equations is equivalent to establish that a space-transformation of a Brownian Motion by suitable function (or functions) is a martingale.

Review text

The authors present how martingales' properties are preserved through functional equations applied on Brownian martingales, namely on martingales relying on Brownian motion. This paper's results may be applied on derivatives pricing, since most of the European (Vanilla) derivatives payoffs are related to the underlying assets' behaviour.

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Cites work

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Cited in

(10)

• On martingale transformations of multidimensional Brownian motion
• On certain distributions associated with the range of martingales
• Homomorphisms from Functional Equations in Probability
• For which functions are 𝑓(𝑋_{𝑡})-𝔼𝕗(𝕏_{𝕥}) and 𝕘(𝕏_{𝕥})/𝔼𝕘(𝕏_{𝕥}) martingales?
• On Jensen's functional equation
• On martingale property of the stochastic integral equations
• scientific article; zbMATH DE number 2214609 (Why is no real title available?)
• Functional equations for the stochastic exponential
• Martingale transformations of Brownian motion with application to functional equations
• Probabilistic Cauchy functional equations

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