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Can time-homogeneous diffusions produce any distribution?
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  • Published: 08 December 2011

Can time-homogeneous diffusions produce any distribution?

  • Erik Ekström1,
  • David Hobson2,
  • Svante Janson1 &
  • …
  • Johan Tysk1 

Probability Theory and Related Fields volume 155, pages 493–520 (2013)Cite this article

  • 314 Accesses

  • 11 Citations

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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.

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Author information

Authors and Affiliations

  1. Department of Mathematics, Uppsala University, Box 480, 751 06, Uppsala, Sweden

    Erik Ekström, Svante Janson & Johan Tysk

  2. Department of Statistics, University of Warwick, Zeeman Building, Coventry, CV4 7AL, UK

    David Hobson

Authors
  1. Erik Ekström
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  2. David Hobson
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  3. Svante Janson
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  4. Johan Tysk
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Corresponding author

Correspondence to Erik Ekström.

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Ekström, E., Hobson, D., Janson, S. et al. Can time-homogeneous diffusions produce any distribution?. Probab. Theory Relat. Fields 155, 493–520 (2013). https://doi.org/10.1007/s00440-011-0405-0

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  • Received: 09 May 2011

  • Revised: 18 November 2011

  • Published: 08 December 2011

  • Issue Date: April 2013

  • DOI: https://doi.org/10.1007/s00440-011-0405-0

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Mathematics Subject Classification (2000)

  • 60G44
  • 60J60
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