A Brownian sheet martingale with the same marginals as the arithmetic average of geometric Brownian motion.
Baker, David ; Yor, Marc
Electronic Communications in Probability [electronic only], Tome 14 (2009), p. 1532-1540 / Harvested from The Electronic Library of Mathematics
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Publié le : 2009-01-01
EUDML-ID : urn:eudml:doc:229218 
@article{05636623,
     title = {A Brownian sheet martingale with the same marginals as the arithmetic average of geometric Brownian motion.},
     journal = {Electronic Communications in Probability [electronic only]},
     volume = {14},
     year = {2009},
     pages = {1532-1540},
     zbl = {1201.60033},
     language = {en},
     url = {http://dml.mathdoc.fr/item/05636623}
}

Baker, David; Yor, Marc. A Brownian sheet martingale with the same marginals as the arithmetic average of geometric Brownian motion.. Electronic Communications in Probability [electronic only], Tome 14 (2009) pp. 1532-1540. http://gdmltest.u-ga.fr/item/05636623/