A continuous non-Brownian motion martingale with Brownian motion marginal distributions

J.M.P. Albin

Statistics & Probability Letters, 2008, vol. 78, issue 6, 682-686

Abstract: We construct a continuous martingale that has the same univariate marginal distributions as Brownian motion, but that is not Brownian motion.

Keywords: Brownian; motion; Diffusion; process; Martingale; Martingale; problem (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (4)

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