On fake Brownian motions

Krzysztof Oleszkiewicz

Statistics & Probability Letters, 2008, vol. 78, issue 11, 1251-1254

Abstract: Recently Albin constructed an example of a continuous martingale different from the classical Brownian motion but with the same marginal distributions, thus improving on the result of Hamza and Klebaner. We present a simpler solution to this problem.

Date: 2008
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