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VOL. 45 | 2004 On time changing continuous martingales to Brownian motion

Abstract

A short variation of the original proof of Dubins and Schwarz of their result, that all continuous martingales can be time changed to Brownian motion, is given.

Information

Published: 1 January 2004
First available in Project Euclid: 28 November 2007

zbMATH: 1268.60054
MathSciNet: MR2126892

Digital Object Identifier: 10.1214/lnms/1196285385

Subjects:
Primary: 60G44, 60J65

Rights: Copyright © 2004, Institute of Mathematical Statistics

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Vol. 45 • 1 January 2004
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