A continuous non-Brownian motion martingale with Brownian motion marginal distributions
DOI10.1016/J.SPL.2007.09.031zbMATH Open1137.60325OpenAlexW2171484326MaRDI QIDQ2483440FDOQ2483440
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
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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- On the uniqueness of martingales with certain prescribed marginals
- On Martingales with Given Marginals and the Scaling Property
- A family of non-Gaussian martingales with Gaussian marginals
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- Faking Brownian motion with continuous Markov martingales
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