Time homogeneous diffusions with a given marginal at a deterministic time

John M. Noble

Stochastic Processes and their Applications, 2013, vol. 123, issue 3, 675-718

Abstract: In this article, it is proved that for any probability law μ over R with finite first moment and a given deterministic time t>0, there exists a gap diffusion with law μ at the prescribed time t.

Keywords: Martingale diffusion; Krei˘n strings; Marginal distribution (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.spa.2012.11.008

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