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

DOI10.1016/j.spl.2007.09.031zbMath1137.60325MaRDI QIDQ2483440

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 motion; diffusion process; martingale; martingale problem

Mathematics Subject Classification ID

35K57: Reaction-diffusion equations

60J65: Brownian motion

60G44: Martingales with continuous parameter

60J60: Diffusion processes

60G18: Self-similar stochastic processes

60E99: Distribution theory

33-XX: Special functions

Related Items

On fake Brownian motions

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