Abstract
Closely inspired by Albin’s method which relies ultimately on the duplication formula for the Gamma function, we exploit Gauss’ multiplication formula to construct a sequence of continuous martingales with Brownian marginals and scaling.
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Baker, D., Donati-Martin, C., Yor, M. (2011). A Sequence of Albin Type Continuous Martingales with Brownian Marginals and Scaling. In: Donati-Martin, C., Lejay, A., Rouault, A. (eds) Séminaire de Probabilités XLIII. Lecture Notes in Mathematics(), vol 2006. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-15217-7_20
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DOI: https://doi.org/10.1007/978-3-642-15217-7_20
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