A Sequence of Albin Type Continuous Martingales with Brownian Marginals and Scaling

被引：4

作者：

Baker, David ^{[1
,2
]}

Donati-Martin, Catherine ^{[1
,2
]}

Yor, Marc ^{[1
,2
,3
]}

机构：

[1] Univ Paris 06, Lab Probabil & Modeles Aleatoires, F-75252 Paris 05, France

[2] CNRS, UMR 7599, F-75252 Paris 05, France

[3] Univ Paris 06, Inst Univ France, F-75252 Paris 05, France

来源：

SEMINAIRE DE PROBABILITES XLIII | 2011年 / 2006卷

关键词：

Martingales; Brownian marginals;

D O I：

10.1007/978-3-642-15217-7_20

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

Closely inspired by Albin's method which relies ultimately on the duplication formula for the Gamma function, we exploit Gauss' multiplication formula to construct a sequence of continuous martingales with Brownian marginals and scaling.

引用

页码：441 / 449

页数：9