On weak Brownian motions of arbitrary order
type: Item
instance of: scholarly article
title: On weak Brownian motions of arbitrary order
zbMATH Open document ID: 0968.60069
DOI: 10.1016/S0246-0203(00)00133-3
author: Hans Föllmer
author: Ching-Tang Wu
author: Marc Yor
published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques
publication date: 2001-02-06T00:00:00Z
full work available at URL: http://www.numdam.org/item
full work available at URL: https://eudml.org/doc/77668
review text: A weak Brownian motion of order \(k\) is a stochastic process having the same \(k\)-dimensional marginals as Brownian motion. The authors prove the existence of continuous weak Brownian motions of any order; this is done with the corresponding law on Wiener space both equivalent or singular to Wiener measure. Moreover, they show that there are even weak Brownian motions whose law coincides with Wiener measure outside of any interval of length \(\varepsilon\).
reviewed by: Martin Schweizer
Mathematics Subject Classification ID: 60J65
Mathematics Subject Classification ID: 45D05
Mathematics Subject Classification ID: 60G15
Mathematics Subject Classification ID: 60G48
zbMATH DE Number: 1525674
zbMATH Keywords: weak Brownian motion
zbMATH Keywords: marginal distributions
zbMATH Keywords: Wiener measure
zbMATH Keywords: Brownian motion
zbMATH Keywords: Volterra kernel
MaRDI profile type: Publication
OpenAlex ID: W1612188185
description: scientific article; zbMATH DE number 1525674