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

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

Year of publication:	2008
Authors:	Albin, J.M.P.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 78.2008, 6, p. 682-686
Publisher:	Elsevier
Keywords:	Brownian motion Diffusion process Martingale Martingale problem

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005137923