A Sequence of Albin Type Continuous Martingales with Brownian Marginals and Scaling

DOI10.1007/978-3-642-15217-7_20zbMath1216.60039OpenAlexW98993884MaRDI QIDQ3086812

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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_20

zbMATH Keywords

martingalesBrownian marginals

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44)

Related Items (4)

Faking Brownian motion with continuous Markov martingales ⋮ Mimicking self-similar processes ⋮ Constructing Self-Similar Martingales via Two Skorokhod Embeddings ⋮ From Bachelier to Dupire via optimal transport

Cites Work

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• Making Markov martingales meet marginals: With explicit constructions
• A family of non-Gaussian martingales with Gaussian marginals
• A continuous non-Brownian motion martingale with Brownian motion marginal distributions
• Exercises in Probability

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