A Gaussian martingale which is the sum of two independent Gaussian non-semimartingales

Marc Yor

doi:10.1214/ECP.v20-4034

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Home > Journals > Electron. Commun. Probab. > Volume 20 > Article

2015 A Gaussian martingale which is the sum of two independent Gaussian non-semimartingales

Marc Yor

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Marc Yor¹
¹Université Paris VI

Electron. Commun. Probab. 20: 1-5 (2015). DOI: 10.1214/ECP.v20-4034

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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.

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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

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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

Keywords: Brownian bridges , Gaussian processes , Martingales , Semimartingales

Rights: Creative Commons Attribution 3.0 License

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Marc Yor "A Gaussian martingale which is the sum of two independent Gaussian non-semimartingales," Electronic Communications in Probability, Electron. Commun. Probab. 20(none), 1-5, (2015)

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