Can time-homogeneous diffusions produce any distribution?

• 成果类型: Article
• 署名作者: Ekstrom, Erik; Hobson, David; Janson, Svante; Tysk, Johan
• 署名单位: Uppsala University; University of Warwick
• 刊物名称: PROBABILITY THEORY AND RELATED FIELDS
• ISSN/ISSBN: 0178-8051
• DOI: 10.1007/s00440-011-0405-0
• 发表日期: 2013
• 页码: 493-520
• 关键词: Bubbles

摘要

Given a centred distribution, can one find a time-homogeneous martingale diffusion starting at zero which has the given law at time 1? We answer the question affirmatively if generalized diffusions are allowed.