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Krei˘n strings 1 Marginal distribution 1 Martingale diffusion 1
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Noble, John M. 1
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Stochastic Processes and their Applications 1
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Time homogeneous diffusions with a given marginal at a deterministic time
Noble, John M. - In: Stochastic Processes and their Applications 123 (2013) 3, pp. 675-718
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.
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