TY - JOUR
T1 - On the Markov property of some Brownian martingales
AU - Fan, Jie Yen
AU - Hamza, Kais
AU - Klebaner, Fima C
PY - 2012
Y1 - 2012
N2 - Let hn be the (probabilists ) Hermite polynomial of degree n. Let Hn(z,a)=an 2hn(za) and Hn(z,0)= zn. It is well-known that Hn( Bt,t) is a martingale for every n. In this paper, we show that for n
AB - Let hn be the (probabilists ) Hermite polynomial of degree n. Let Hn(z,a)=an 2hn(za) and Hn(z,0)= zn. It is well-known that Hn( Bt,t) is a martingale for every n. In this paper, we show that for n
UR - http://www.sciencedirect.com/science/article/pii/S0304414912001238
U2 - 10.1016/j.spa.2012.06.004
DO - 10.1016/j.spa.2012.06.004
M3 - Article
SN - 0304-4149
VL - 122
SP - 3506
EP - 3512
JO - Stochastic Processes and their Applications
JF - Stochastic Processes and their Applications
IS - 10
ER -