Can time-homogeneous diffusions produce any distribution?
Probability
2011-03-24 v1
Abstract
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.
Cite
@article{arxiv.1103.4371,
title = {Can time-homogeneous diffusions produce any distribution?},
author = {Erik Ekström and David Hobson and Svante Janson and Johan Tysk},
journal= {arXiv preprint arXiv:1103.4371},
year = {2011}
}