On martingale transformations of multidimensional Brownian Motion
M. Mania and
Statistics & Probability Letters, 2021, vol. 175, issue C
We describe the class of functions f:Rn→Rm which transform a vector Brownian Motion into a martingale and use this description to give martingale characterization of the general measurable solution of the multidimensional Cauchy functional equation.
Keywords: Brownian Motion; Martingales; Functional equations (search for similar items in EconPapers)
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