Faking Brownian motion with continuous Markov martingales

DOI10.1007/s00780-023-00526-warXiv2109.12927OpenAlexW3202891025MaRDI QIDQ6181521

Walter Schachermayer, Mathias Beiglböck, Gudmund Pammer, George Lowther

Publication date: 2 January 2024

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2109.12927

zbMATH Keywords

Markov propertyfake Brownian motionmimicking processes

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Portfolio theory (91G10)

Cites Work

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