Faking Brownian motion with continuous Markov martingales
Mathias Beiglböck, George Lowther, Gudmund Pammer, Walter Schachermayer
| Year of publication: |
2024
|
|---|---|
| Authors: | Beiglböck, Mathias ; Lowther, George ; Pammer, Gudmund ; Schachermayer, Walter |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 1432-1122, ZDB-ID 1467022-7. - Vol. 28.2024, 1, p. 259-284
|
| Subject: | Fake Brownian motion | Markov property | Mimicking processes | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process | Theorie | Theory | Martingal | Martingale |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-023-00526-w [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014447742