On fake Brownian motions

DOI10.1016/j.spl.2007.11.026zbMath1149.60052OpenAlexW2046615096MaRDI QIDQ945453

Krzysztof Oleszkiewicz

Publication date: 12 September 2008

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

Full work available at URL: https://doi.org/10.1016/j.spl.2007.11.026

Mathematics Subject Classification ID

Brownian motion (60J65)

Related Items (9)

Multifractal processes: definition, properties and new examples ⋮ On the Uniqueness of Martingales with Certain Prescribed Marginals ⋮ Mimicking an Itō process by a solution of a stochastic differential equation ⋮ Faking Brownian motion with continuous Markov martingales ⋮ Fake exponential Brownian motion ⋮ Mimicking self-similar processes ⋮ An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint ⋮ Constructing Self-Similar Martingales via Two Skorokhod Embeddings ⋮ From Bachelier to Dupire via optimal transport

Cites Work

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• A family of non-Gaussian martingales with Gaussian marginals
• A continuous non-Brownian motion martingale with Brownian motion marginal distributions

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