On the Markov property of some Brownian martingales

Jie Yen Fan; Kais Hamza; Fima C Klebaner

doi:10.1016/j.spa.2012.06.004

On the Markov property of some Brownian martingales

School of Mathematics

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Abstract

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

Original language	English
Pages (from-to)	3506 - 3512
Number of pages	7
Journal	Stochastic Processes and their Applications
Volume	122
Issue number	10
DOIs	https://doi.org/10.1016/j.spa.2012.06.004
Publication status	Published - 2012

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title = "On the Markov property of some Brownian martingales",

abstract = "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",

author = "Fan, \{Jie Yen\} and Kais Hamza and Klebaner, \{Fima C\}",

year = "2012",

doi = "10.1016/j.spa.2012.06.004",

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volume = "122",

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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 -

On the Markov property of some Brownian martingales

Abstract

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