A continuous non-Brownian motion martingale with Brownian motion marginal distributions

DOI10.1016/j.spl.2007.09.031zbMath1137.60325OpenAlexW2171484326MaRDI QIDQ2483440

J. M. P. Albin

Publication date: 28 April 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2007.09.031

zbMATH Keywords

Brownian motiondiffusion processmartingalemartingale problem

Mathematics Subject Classification ID

Reaction-diffusion equations (35K57) Brownian motion (60J65) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Self-similar stochastic processes (60G18) Distribution theory (60E99) Special functions (33-XX)

Related Items (15)

On the Uniqueness of Martingales with Certain Prescribed Marginals ⋮ Gauged supergravities from M-theory reductions ⋮ Mimicking an Itō process by a solution of a stochastic differential equation ⋮ Quantizations of probability measures and preservation of the convex order ⋮ Faking Brownian motion with continuous Markov martingales ⋮ Fake exponential Brownian motion ⋮ On fake Brownian motions ⋮ Mimicking self-similar processes ⋮ An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint ⋮ On Martingales with Given Marginals and the Scaling Property ⋮ A Sequence of Albin Type Continuous Martingales with Brownian Marginals and Scaling ⋮ Constructing Self-Similar Martingales via Two Skorokhod Embeddings ⋮ The Markov-quantile process attached to a family of marginals ⋮ From Bachelier to Dupire via optimal transport ⋮ Shadow martingales -- a stochastic mass transport approach to the peacock problem

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