The Annals of Probability

Processes that can be Embedded in Brownian Motion

Itrel Monroe

Full-text: Open access

Abstract

A process is equivalent to a time change of Brownian motion if and only if it is a local semimartingale.

Article information

Source
Ann. Probab., Volume 6, Number 1 (1978), 42-56.

Dates
First available in Project Euclid: 19 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aop/1176995609

Digital Object Identifier
doi:10.1214/aop/1176995609

Mathematical Reviews number (MathSciNet)
MR455113

Zentralblatt MATH identifier
0392.60057

JSTOR
links.jstor.org

Subjects
Primary: 60J65: Brownian motion [See also 58J65]
Secondary: 60G45

Keywords
Brownian motion martingales time changes embeddings

Citation

Monroe, Itrel. Processes that can be Embedded in Brownian Motion. Ann. Probab. 6 (1978), no. 1, 42--56. doi:10.1214/aop/1176995609. https://projecteuclid.org/euclid.aop/1176995609


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