Fake exponential Brownian motion

DOI10.1016/j.spl.2013.06.030zbMath1293.60079arXiv1210.1391MaRDI QIDQ2435766

David G. Hobson

Publication date: 19 February 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1210.1391

zbMATH Keywords

exponential Brownian motion; Dupire's formula; fake diffusion

Mathematics Subject Classification ID

60J65: Brownian motion

60G44: Martingales with continuous parameter

60J60: Diffusion processes

Related Items

Faking Brownian motion with continuous Markov martingales, An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint, The Markov-quantile process attached to a family of marginals, From Bachelier to Dupire via optimal transport

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