BFS 2002

Contributed Talk




Making Markov Martingales Meet Marginals: With Explicit Constructions

Dilip Madan, Marc Yor


We present three generic constructions of martingales that all have the Markov property with known and prespecified marginal densities. These constructions are further investigated for the special case when the prespecified marginals satisfy the scaling property and hence datum for the construction is reduced to the density at unit time. Interesting relations with stochastic orders are presented along with numerous examples of the resulting martingales.