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arXiv · 2006.08986

On Martingale Transformations of Multidimensional Brownian Motion

Michael Mania·Revaz Tevzadze
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Abstract

We describe the class of functions $f: R^n\to R^m$ 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.

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Michael Mania, Revaz Tevzadze. 2020-06-16. On Martingale Transformations of Multidimensional Brownian Motion. https://arxiv.org/abs/2006.08986

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