A continuous non-Brownian motion martingale with Brownian motion marginal distributions. (English) Zbl 1137.60325
Summary: We construct a continuous martingale that has the same univariate marginal distributions as Brownian motion, but that is not Brownian motion.
MSC:
60G44 | Martingales with continuous parameter |
60J65 | Brownian motion |
33-XX | Special functions |
35K57 | Reaction-diffusion equations |
60E99 | Distribution theory |
60G18 | Self-similar stochastic processes |
60J60 | Diffusion processes |
References:
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