Institute of Mathematical Statistics Lecture Notes - Monograph Series

On time changing continuous martingales to Brownian motion

Burgess Davis

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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.

Chapter information

Source
Anirban DasGupta, ed., A Festschrift for Herman Rubin (Beachwood, Ohio, USA: Institute of Mathematical Statistics, 2004), 138-139

Dates
First available in Project Euclid: 28 November 2007

Permanent link to this document
https://projecteuclid.org/euclid.lnms/1196285385

Digital Object Identifier
doi:10.1214/lnms/1196285385

Mathematical Reviews number (MathSciNet)
MR2126892

Zentralblatt MATH identifier
1268.60054

Subjects
Primary: 60G44: Martingales with continuous parameter 60J65: Brownian motion [See also 58J65]

Keywords
continuous martingale Brownian motion

Rights
Copyright © 2004, Institute of Mathematical Statistics

Citation

Davis, Burgess. On time changing continuous martingales to Brownian motion. A Festschrift for Herman Rubin, 138--139, Institute of Mathematical Statistics, Beachwood, Ohio, USA, 2004. doi:10.1214/lnms/1196285385. https://projecteuclid.org/euclid.lnms/1196285385


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