Martingale transformations of Brownian motion with application to functional equations

DOI10.1080/17442508.2022.2084341zbMath1524.60085arXiv2108.06694MaRDI QIDQ6170740

Michael Mania, Revaz Tevzadze

Publication date: 13 July 2023

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2108.06694

zbMATH Keywords

Brownian motionmartingalesfunctional equations

Mathematics Subject Classification ID

Brownian motion (60J65) Martingales with continuous parameter (60G44) Functional equations (educational aspects) (97I70)

Cites Work

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• A probabilistic note on the Cauchy functional equation
• Liouville theorems for nonlinear parabolic equations of second order
• On martingale transformations of multidimensional Brownian motion
• Semimartingale Functions of a Class of Diffusion Processes
• Semimartingales and Markov processes
• For which functions are 𝑓(𝑋_{𝑡})-𝔼𝕗(𝕏_{𝕥}) and 𝕘(𝕏_{𝕥})/𝔼𝕘(𝕏_{𝕥}) martingales?

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