## Journal of Mathematics of Kyoto University

### A construction of processes with one dimensional martingale marginals, based upon path-space Ornstein-Uhlenbeck processes and the Brownian sheet

#### Abstract

Using a variation from the construction of the Ornstein-Uhlenbeck process on canonical path-space $C([0,1]; \mathbb{R})$ in terms of the Brownian sheet, we obtain a large class of processes, adapted to the Brownian filtration, which admit the one dimensional marginals of a martingale.

#### Article information

Source
J. Math. Kyoto Univ., Volume 49, Number 2 (2009), 389-417.

Dates
First available in Project Euclid: 22 October 2009

https://projecteuclid.org/euclid.kjm/1256219164

Digital Object Identifier
doi:10.1215/kjm/1256219164

Mathematical Reviews number (MathSciNet)
MR2571849

Zentralblatt MATH identifier
1203.60122

#### Citation

Hirsch, Francis; Yor, Marc. A construction of processes with one dimensional martingale marginals, based upon path-space Ornstein-Uhlenbeck processes and the Brownian sheet. J. Math. Kyoto Univ. 49 (2009), no. 2, 389--417. doi:10.1215/kjm/1256219164. https://projecteuclid.org/euclid.kjm/1256219164