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2015 A Gaussian martingale which is the sum of two independent Gaussian non-semimartingales
Marc Yor
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Electron. Commun. Probab. 20: 1-5 (2015). DOI: 10.1214/ECP.v20-4034

Abstract

In this paper two examples of two independent centered Gaussian processes are given such that at least one of them is not a semimartingale but their sum is a martingale.

Citation

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Marc Yor. "A Gaussian martingale which is the sum of two independent Gaussian non-semimartingales." Electron. Commun. Probab. 20 1 - 5, 2015. https://doi.org/10.1214/ECP.v20-4034

Information

Accepted: 4 October 2015; Published: 2015
First available in Project Euclid: 7 June 2016

zbMATH: 1329.60099
MathSciNet: MR3407214
Digital Object Identifier: 10.1214/ECP.v20-4034

Subjects:
Primary: 60G15
Secondary: 60G44

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