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Can time-homogeneous diffusions produce any distribution?
Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics.
Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics.
Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics.
2013 (English)In: Probability theory and related fields, ISSN 0178-8051, E-ISSN 1432-2064, Vol. 155, no 3-4, 493-520 p.Article in journal (Refereed) Published
Abstract [en]

Given a centred distribution, can one find a time-homogeneous martingale diffusion starting at zero which has the given law at time 1? We answer the question affirmatively if generalized diffusions are allowed.

Place, publisher, year, edition, pages
2013. Vol. 155, no 3-4, 493-520 p.
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Natural Sciences
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URN: urn:nbn:se:uu:diva-198910DOI: 10.1007/s00440-011-0405-0ISI: 000316958300001OAI: oai:DiVA.org:uu-198910DiVA: diva2:619251
Available from: 2013-05-02 Created: 2013-04-29 Last updated: 2017-12-06Bibliographically approved

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Ekström, ErikJanson, SvanteTysk, Johan

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