Time homogeneous diffusions with a given marginal at a deterministic time

In this article, it is proved that for any probability law μ over R with finite first moment and a given deterministic time t>0, there exists a gap diffusion with law μ at the prescribed time t.

MoreLess

Year of publication:	2013
Authors:	Noble, John M.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 123.2013, 3, p. 675-718
Publisher:	Elsevier
Subject:	Martingale diffusion \| Krei˘n strings \| Marginal distribution

More details

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

Persistent link: https://www.econbiz.de/10011065038