A continuous non-Brownian motion martingale with Brownian motion marginal distributions

DOI10.1016/J.SPL.2007.09.031MaRDI QIDQ2483440zbMATH OpenOpenAlexFDO

Authors J. M. P. Albin

Publication date 28 April 2008

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

Full work available at URL https://doi.org/10.1016/j.spl.2007.09.031

zbMATH Keywords

Brownian motiondiffusion processmartingalemartingale problem

Mathematics Subject Classification ID

Special functions (33-XX) Reaction-diffusion equations (35K57) Distribution theory (60E99) Self-similar stochastic processes (60G18) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Brownian motion (60J65)

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Cited in

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• Gauged supergravities from M-theory reductions
• The Markov-quantile process attached to a family of marginals
• From Bachelier to Dupire via optimal transport
• Shadow martingales -- a stochastic mass transport approach to the peacock problem
• Fake exponential Brownian motion
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• Mimicking self-similar processes
• On Martingales with Given Marginals and the Scaling Property
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• Constructing Self-Similar Martingales via Two Skorokhod Embeddings
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• Hölder regularity and roughness: construction and examples
• An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint
• Quantizations of probability measures and preservation of the convex order
• On fake Brownian motions

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