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On martingale transformations of multidimensional Brownian Motion

M. Mania and R. Tevzadze

Statistics & Probability Letters, 2021, vol. 175, issue C

Abstract: 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)
Date: 2021
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DOI: 10.1016/j.spl.2021.109119

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