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Fake exponential Brownian motion
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Hobson, David (David G.) (2013) Fake exponential Brownian motion. Statistics & Probability Letters, Volume 83 (Number 10). pp. 2386-2390. doi:10.1016/j.spl.2013.06.030 ISSN 0167-7152.
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Official URL: http://dx.doi.org/10.1016/j.spl.2013.06.030
Abstract
We construct a fake exponential Brownian motion, a continuous martingale different from classical exponential Brownian motion but with the same marginal distributions, thus extending results of Albin and Oleszkiewicz for fake Brownian motions. The ideas extend to other diffusions.
Item Type: | Journal Article | ||||
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Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
Journal or Publication Title: | Statistics & Probability Letters | ||||
Publisher: | Elsevier Science BV | ||||
ISSN: | 0167-7152 | ||||
Official Date: | October 2013 | ||||
Dates: |
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Volume: | Volume 83 | ||||
Number: | Number 10 | ||||
Page Range: | pp. 2386-2390 | ||||
DOI: | 10.1016/j.spl.2013.06.030 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access |
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