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arXiv · 1103.4371

Can time-homogeneous diffusions produce any distribution?

Erik Ekström·David Hobson·Svante Janson·Johan Tysk
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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.

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Erik Ekström, David Hobson, Svante Janson, Johan Tysk. 2011-03-22. Can time-homogeneous diffusions produce any distribution?. https://arxiv.org/abs/1103.4371

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