Fake exponential Brownian motion
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Publication:2435766
DOI10.1016/j.spl.2013.06.030zbMath1293.60079arXiv1210.1391MaRDI QIDQ2435766
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
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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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