A family of non-Gaussian martingales with Gaussian marginals

Journal of Applied Mathematics and Stochastic Analysis

Volumn 2007, Issue , 2007, Pages

  Hamza, Kais ^a   Klebaner, Fima C ^a  

^a NONE

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Indexed keywords

EID: 34548710224     PISSN: 10489533     EISSN: 16872177     Source Type: Journal    
DOI: 10.1155/2007/92723     Document Type: Article

References (6)

1. H. G. Kellerer Markov-Komposition und eine Anwendung auf Martingale Mathematische Annalen 198 3 1972 99-122.
2. D. B. Madan M. Yor Making Markov martingales meet marginals: With explicit constructions Bernoulli 8 2002 4 509-536.
3. J. Bertoin Subordinators: Examples and applications Lectures on Probability Theory and Statistics (Saint-Flour, 1997) Lecture Notes in Mathematics 1717 1-91, Springer Berlin, Germany 1999.
4. D. Revuz M. Yor Continuous Martingales and Brownian Motion Fundamental Principles of Mathematical Sciences 293 3rd Springer Berlin, Germany 1999 xiv+602.
5. J. Jacod A. N. Shiryaev Limit Theorems for Stochastic Processes Fundamental Principles of Mathematical Sciences 288 Springer Berlin, Germany 1987 xviii+601.
6. S. N. Ethier T. G. Kurtz Markov Processes Wiley Series in Probability and Mathematical Statistics: Probability and Mathematical Statistics John Wiley & Sons New York, NY, USA 1986 x+534.