On the Markov property of some Brownian martingales

DOI10.1016/J.SPA.2012.06.004zbMath1262.60039OpenAlexW2070019108WikidataQ57712749 ScholiaQ57712749MaRDI QIDQ449234

Fima C. Klebaner, Kais Hamza, Jie Yen Fan

Publication date: 12 September 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2012.06.004

zbMATH Keywords

Hermite polynomialsMarkov propertyBrownian martingalesselfsimilar martingales

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Martingales with continuous parameter (60G44) Self-similar stochastic processes (60G18)

Related Items (1)

Mimicking self-similar processes

Cites Work

• Unnamed Item
• Mimicking the one-dimensional marginal distributions of processes having an Ito differential
• A stochastic characterization of Hermite polynomials
• A family of non-Gaussian martingales with Gaussian marginals
• Mimicking self-similar processes

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