A Family of non-Gaussian Martingales with Gaussian Marginals

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dc.creatorHamza, kais
dc.creatorKlebaner, Fima C.
dc.date2006-04-06
dc.date.accessioned2026-07-07T07:10:35Z
dc.date.available2026-07-07T07:10:35Z
dc.descriptionWe construct a family of non-Gaussian martingales the marginals of which are all Gaussian. We give the predictable quadratic variation of these processes and show they do not have continuous paths. These processes are Markovian and inhomogeneous in time, and we give their infinitesimal generators. Within this family we find a class of piecewise deterministic pure jump processes and describe the laws of jumps and times between the jumps.
dc.description16 pages, 2 figures
dc.identifierhttps://arxiv.org/abs/math/0604127
dc.identifierhttp://arxiv.org/abs/math/0604127
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/111464
dc.subjectProbability
dc.subject60G44, 60J25, 60J75, 91B70
dc.titleA Family of non-Gaussian Martingales with Gaussian Marginals
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