A Family of Non-Gaussian Martingales with Gaussian Marginals

[摘要] We construct a family of martingales with Gaussian marginal distributions. We give a weak construction as Markov, inhomogeneous in time processes, and compute their infinitesimal generators. We give the predictable quadratic variation and show that the paths are not continuous. The construction uses distributionsGσhaving a log-convolution semigroup property. Further, we categorize theseprocesses as belonging to one of two classes, one of which is made up of piecewise deterministic pure jump processes. This class includes the case whereGσis an inverse log-Poisson distribution. The processes in the secondclass include the case whereGσis an inverse log-gamma distribution. The richness of the family has the potential to allow for the imposition of specifications other than the marginal distributions.

[学科分类] 应用数学