On Martingale Transformations of Multidimensional Brownian Motion

2020/06/16 by Mania, Michael, Tevzadze, Revaz
#60G44 #60J65 #97I70 #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.2006.08986

Abstract

We describe the class of functions f: Rⁿ→ R^m which transform a vector Brownian Motion into a martingale and use this description to give martingale characterization of the general measurable solution of the multidimensional Cauchy functional equation.

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