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

martingaleBrownian motiondiffusion processmartingale problem

Mathematics Subject Classification ID

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

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Cited in

(21)

• On the uniqueness of martingales with certain prescribed marginals
• Faking Brownian motion with continuous Markov martingales
• Constructing Self-Similar Martingales via Two Skorokhod Embeddings
• scientific article; zbMATH DE number 7782818 (Why is no real title available?)
• A sequence of Albin type continuous martingales with Brownian marginals and scaling
• scientific article; zbMATH DE number 48952 (Why is no real title available?)
• Mimicking an Itō process by a solution of a stochastic differential equation
• Fake exponential Brownian motion
• An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint
• A family of non-Gaussian martingales with Gaussian marginals
• On fake Brownian motions
• From Bachelier to Dupire via optimal transport
• scientific article; zbMATH DE number 6193679 (Why is no real title available?)
• On Martingales with Given Marginals and the Scaling Property
• The Markov-quantile process attached to a family of marginals
• Gauged supergravities from M-theory reductions
• Mimicking self-similar processes
• On Dupire formula and diffusion with given marginals
• Quantizations of probability measures and preservation of the convex order
• Shadow martingales -- a stochastic mass transport approach to the peacock problem
• scientific article; zbMATH DE number 1552209 (Why is no real title available?)

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