A Gaussian martingale which is the sum of two independent Gaussian non-semimartingales

DOI10.1214/ECP.V20-4034zbMATH Open1329.60099OpenAlexW1854524873MaRDI QIDQ894496FDOQ894496

Authors: Marc Yor 

Publication date: 1 December 2015

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/ecp.v20-4034

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zbMATH Keywords

Gaussian processesmartingalessemimartingalesBrownian bridges

Mathematics Subject Classification ID

Gaussian processes (60G15) Generalizations of martingales (60G48) Martingales with continuous parameter (60G44)

Cited In (3)

• On small deviation asymptotics in \(L_2\) of some mixed Gaussian processes
• A family of non-Gaussian martingales with Gaussian marginals
• On the Sum of Gaussian Martingale and an Independent Fractional Brownian Motion

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