On Martingale Transformations of Multidimensional Brownian Motion
Probability
2020-06-17 v1
Abstract
We describe the class of functions which transform a vector Brownian Motion into a martingale and use this description to give martingale characterization of the general measurable solution of the multidimensional Cauchy functional equation.
Cite
@article{arxiv.2006.08986,
title = {On Martingale Transformations of Multidimensional Brownian Motion},
author = {Michael Mania and Revaz Tevzadze},
journal= {arXiv preprint arXiv:2006.08986},
year = {2020}
}
Comments
12 pages