Can Time-homogeneous Diffusions Produce Any Distribution?

نویسندگان

  • ERIK EKSTRÖM
  • JOHAN TYSK
چکیده

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.

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

From minimal embeddings to minimal diffusions

We show that there is a one-to-one correspondence between diffusions and the solutions of the Skorokhod Embedding Problem due to Bertoin and Le-Jan. In particular, the minimal embedding corresponds to a ‘minimal local martingale diffusion’, which is a notion we introduce in this article. Minimality is closely related to the martingale property. A diffusion is minimal if it it minimises the expe...

متن کامل

Martingale Property and Pricing for Time-homogeneous Diffusion Models in Finance by

The thesis studies the martingale properties, probabilistic methods and efficient unbiased Monte Carlo simulation methods for various time-homogeneous diffusion models commonly used in mathematical finance. Some of the popular stochastic volatility models such as the Heston model, the Hull-White model and the 3/2 model are special cases. The thesis consists of the following three parts: Part I ...

متن کامل

A Non-Parametric Test for Continuous-Time Homogeneous Markov Process: Is It a Diffusion Process?

This paper proposes a nonparametric method to test whether an underlying continuoustime homogeneous Markov process is a diffusion process. The test statistic is based on the infinitesimal generator. Under the null hypothesis, we show that the limit distribution of the test statistic is normal. Under the alternative hypothesis, where the jump-diffusion process is assumed, the power of the test i...

متن کامل

Time-Homogeneous Diffusions with a Given Marginal at a Random Time

We solve explicitly the following problem: for a given probability measure μ, we specify a generalised martingale diffusion (Xt) which, stopped at an independent exponential time T , is distributed according to μ. The process (Xt) is specified via its speed measure m. We present two heuristic arguments and three proofs. First we show how the result can be derived from the solution of Bertoin an...

متن کامل

Diffusion-type Models with given Marginal Distribution and Autocorrelation Function

Flexible stationary diffusion-type models are developed that can fit both the marginal distribution and the correlation structure found in many time series from e.g. finance and turbulence. Diffusion models with linear drift and a known and prespecified marginal distribution are studied, and the diffusion coefficients corresponding a large number of common probability distributions are found ex...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

عنوان ژورنال:

دوره   شماره 

صفحات  -

تاریخ انتشار 2011