A sequence of Albin type continuous martingales with Brownian marginals and scaling

Abstract : 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.
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2010
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https://hal.archives-ouvertes.fr/hal-00471169
Contributor : Catherine Donati-Martin <>
Submitted on : Wednesday, April 7, 2010 - 2:58:51 PM
Last modification on : Tuesday, October 11, 2016 - 3:20:34 PM
Document(s) archivé(s) le : Friday, July 9, 2010 - 9:03:48 PM

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Catherine Donati-Martin, David Baker, Marc Yor. A sequence of Albin type continuous martingales with Brownian marginals and scaling. 2010. <hal-00471169>

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