Can time-homogeneous diffusions produce any distribution?

2011/03/22 by Erik Ekström, David Hobson, Ekström, Erik +5
Mathematics · #FOS: Mathematics #Probability (math.PR) #math.PR

paper · pdf · doi:10.48550/arxiv.1103.4371

arxiv created 2011/03/22 · arxiv updated 2011/03/24

Abstract

Given a centred distribution, can one find a time-homogeneous martingale diffusion starting at zero which has the given law at time 1? We answer the question affirmatively if generalized diffusions are allowed.

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