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

{"title":"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","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":"{\"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}","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

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。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文

微信好友朋友圈 QQ好友复制链接

本刊更多论文

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.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

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.