Ekström, Erik, Hobson, David (David G.), Janson, Svante and Tysk, Johan (2011) Can time-homogeneous diffusions produce any distribution? Probability Theory and Related Fields . ISSN 0178-8051

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Abstract

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.

Item Type:	Submitted Journal Article
Subjects:	Q Science > QA Mathematics
Divisions:	Faculty of Science > Statistics
Library of Congress Subject Headings (LCSH):	Diffusion processes, Distribution (Probability theory)
Journal or Publication Title:	Probability Theory and Related Fields
Publisher:	Springer
ISSN:	0178-8051
Date:	December 2011
Identification Number:	10.1007/s00440-011-0405-0
Status:	Peer Reviewed
Publication Status:	Published
Description:	Online first
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URI:	http://wrap.warwick.ac.uk/id/eprint/41081

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