{"title":"A construction of processes with one dimensional martingale marginals, based upon path-space Ornstein-Uhlenbeck processes and the Brownian sheet","authors":"F. Hirsch, M. Yor","doi":"10.1215/KJM/1256219164","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":50142,"journal":{"name":"Journal of Mathematics of Kyoto University","volume":"49 1","pages":"389-417"},"PeriodicalIF":0.0000,"publicationDate":"2009-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"16","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Mathematics of Kyoto University","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1215/KJM/1256219164","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"Mathematics","Score":null,"Total":0}
引用次数: 16
Abstract
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.
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.
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