A construction of processes with one dimensional martingale marginals, based upon path-space Ornstein-Uhlenbeck processes and the Brownian sheet
Hirsch, Francis ; Yor, Marc
J. Math. Kyoto Univ., Tome 49 (2009) no. 1, p. 389-417 / Harvested from Project Euclid
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Using a variation from the construction of the Ornstein-Uhlenbeck process on canonical path-space $C([0,1]; \mathbb{R})$ in terms of the Brownian sheet, we obtain a large class of processes, adapted to the Brownian filtration, which admit the one dimensional marginals of a martingale.
Publié le : 2009-05-15
Classification:  60Gxx,  60Hxx 
@article{1256219164,
     author = {Hirsch, Francis and Yor, Marc},
     title = {A construction of processes with one dimensional
 martingale marginals, based upon path-space Ornstein-Uhlenbeck
 processes and the Brownian sheet},
     journal = {J. Math. Kyoto Univ.},
     volume = {49},
     number = {1},
     year = {2009},
     pages = { 389-417},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1256219164}
}

Hirsch, Francis; Yor, Marc. A construction of processes with one dimensional
 martingale marginals, based upon path-space Ornstein-Uhlenbeck
 processes and the Brownian sheet. J. Math. Kyoto Univ., Tome 49 (2009) no. 1, pp.  389-417. http://gdmltest.u-ga.fr/item/1256219164/