A Sequence of Albin Type Continuous Martingales with Brownian Marginals and Scaling
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Publisher
Springer Berlin Heidelberg
Link
http://link.springer.com/content/pdf/10.1007/978-3-642-15217-7_20.pdf
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3. Chaumont, L., Yor, M.: Exercises in probability. A guided tour from measure theory to random processes, via conditioning. Cambridge Series in Statistical and Probabilistic Mathematics, vol. 13. Cambridge University Press, Cambridge (2003)
4. Hamza, K., Klebaner, F.: A family of non-Gaussian martingales with Gaussian marginals. J. Appl. Math. Stoch. Anal. ID 92723, 19 pp. (2007)
5. Madan, D., Yor, M.: Making Markov martingales meet marginals: with explicit constructions. Bernoulli 8(4), 509–536 (2002)
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