A sequence of Albin type continuous martingales with Brownian marginals and scaling
Résumé
Closely inspired by Albin's method which relies ultimately on the duplication formula for the Gamma function, we exploit Gauss' multiplication formula to construct a sequence of continuous martingales with Brownian marginals and scaling.
Domaines
Probabilités [math.PR]
Origine : Fichiers produits par l'(les) auteur(s)
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