基于路径空间Ornstein-Uhlenbeck过程和布朗薄片的一维鞅边缘过程的构造

Q2 Mathematics

Journal of Mathematics of Kyoto University Pub Date : 2009-01-01 DOI:10.1215/KJM/1256219164

F. Hirsch, M. Yor

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引用次数: 16

摘要

正则路径空间C ([0,1];R)在布朗表中，我们得到了一大类适应布朗滤过的过程，它们承认鞅的一维边缘。

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A construction of processes with one dimensional martingale marginals, based upon path-space Ornstein-Uhlenbeck processes and the Brownian sheet

Using a variation from the construction of the Ornstein-Uhlenbeck process on canonical path-space C ([0 , 1]; R ) in terms of the Brownian sheet, we obtain a large class of processes, adapted to the Brownian ﬁltration, which admit the one dimensional marginals of a martingale.

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来源期刊

Journal of Mathematics of Kyoto University 数学-数学

CiteScore

1.20

自引率

0.00%

发文量

期刊介绍： Papers on pure and applied mathematics intended for publication in the Kyoto Journal of Mathematics should be written in English, French, or German. Submission of a paper acknowledges that the paper is original and is not submitted elsewhere.