A continuous martingale in the plane that may spiral away to infinity
Lester E. Dubins, Michel Émery, Marc Yor (1991)
Séminaire de probabilités de Strasbourg
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Lester E. Dubins, Michel Émery, Marc Yor (1991)
Séminaire de probabilités de Strasbourg
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Minh Duc Nguyen, D. Nualart, M. Sanz (1989)
Séminaire de probabilités de Strasbourg
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F. Utzet (1985)
Annales scientifiques de l'Université de Clermont-Ferrand 2. Série Probabilités et applications
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Takeshi Sekiguchi (1976)
Séminaire de probabilités de Strasbourg
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Norihiko Kazamaki (1989)
Séminaire de probabilités de Strasbourg
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David Gilat, Isaac Meilijson (1988)
Séminaire de probabilités de Strasbourg
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Jan Hannig (2002)
Séminaire de probabilités de Strasbourg
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Francis Hirsch, Bernard Roynette (2012)
ESAIM: Probability and Statistics
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In this paper, we present a new proof of the celebrated theorem of Kellerer, stating that every integrable process, which increases in the convex order, has the same one-dimensional marginals as a martingale. Our proof proceeds by approximations, and calls upon martingales constructed as solutions of stochastic differential equations. It relies on a uniqueness result, due to Pierre, for a Fokker-Planck equation.
Norihiko Kazamaki (1978)
Séminaire de probabilités de Strasbourg
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Norihiko Kazamaki (1972)
Séminaire de probabilités de Strasbourg
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