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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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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DOI: https://doi.org/10.1007/s00440-011-0405-0
Mathematics Subject Classification (2000)
- 60G44
- 60J60