On the Uniqueness of Martingales with Certain Prescribed Marginals

DOI10.1239/jap/1371648961zbMath1291.60084OpenAlexW2074924242MaRDI QIDQ5299578

Michael R. Tehranchi

Publication date: 26 June 2013

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1371648961

zbMATH Keywords

geometric Brownian motionbinomial tree modelfake Brownian motionweak convergence to Brownian motion

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Martingales with continuous parameter (60G44)

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