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filtering theory ; enlargement of filtration ; canonical decomposition ; Sturm-Liouville equation ; Volterra kernels …
Persistent link: https://www.econbiz.de/10009578007
We show the existence, for any k E N, of processes which have the same k-marginals as Brownian motion, although they are not Brownian motions. For k = 4, this proves a conjecture of Stoyanov. The law P' of such a "weak Brownian motion of order k" can be constructed to be equivalent to Wiener...
Persistent link: https://www.econbiz.de/10009582418