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  • Search: subject:"Volterra kernel"
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Year of publication
Subject
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Brownian motion 2 Volterra kernel 2 marginals 2 weak Brownian motion 2 weak martingale 2
Online availability
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Free 2
Type of publication
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Book / Working Paper 2
Type of publication (narrower categories)
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Working Paper 1
Language
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English 1 Undetermined 1
Author
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Föllmer, Hans 2 Wu, Ching-Tang 2 Yor, Marc 2
Institution
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Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 1
Published in...
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SFB 373 Discussion Paper 1 SFB 373 Discussion Papers 1
Source
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EconStor 1 RePEc 1
Showing 1 - 2 of 2
Cover Image
On weak Brownian motions of arbitrary order
Föllmer, Hans; Wu, Ching-Tang; Yor, Marc - 1999
We show the existence, for any k E N, of processes which have the same k-marginals as Brownian motion, although they are not Brownian motions. For k = 4, this proves a conjecture of Stoyanov. The law P' of such a weak Brownian motion of order k can be constructed to be equivalent to Wiener...
Persistent link: https://www.econbiz.de/10010310033
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Cover Image
On weak Brownian motions of arbitrary order
Föllmer, Hans; Wu, Ching-Tang; Yor, Marc - Sonderforschungsbereich 373, Quantifikation und … - 1999
We show the existence, for any k E N, of processes which have the same k-marginals as Brownian motion, although they are not Brownian motions. For k = 4, this proves a conjecture of Stoyanov. The law P' of such a weak Brownian motion of order k can be constructed to be equivalent to Wiener...
Persistent link: https://www.econbiz.de/10010983751
Saved in:
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