On Martingales with Given Marginals and the Scaling Property

DOI10.1007/978-3-642-15217-7_19zbMath1216.60040OpenAlexW4297839311MaRDI QIDQ3086811

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Publication date: 30 March 2011

Published in: Séminaire de Probabilités XLIII (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-15217-7_19

zbMATH Keywords

martingalesmarginal distributionsBrownian scaling

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44)

Cites Work

• Peacocks and associated martingales, with explicit constructions
• Making Markov martingales meet marginals: With explicit constructions
• A continuous non-Brownian motion martingale with Brownian motion marginal distributions
• Markov-Komposition und eine Anwendung auf Martingale. (Markov compositions and an application to martingales)

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