A Family of non-Gaussian Martingales with Gaussian Marginals

Research paper by kais Hamza, Fima C. Klebaner

Indexed on: 06 Apr '06Published on: 06 Apr '06Published in: Mathematics - Probability


We construct a family of non-Gaussian martingales the marginals of which are all Gaussian. We give the predictable quadratic variation of these processes and show they do not have continuous paths. These processes are Markovian and inhomogeneous in time, and we give their infinitesimal generators. Within this family we find a class of piecewise deterministic pure jump processes and describe the laws of jumps and times between the jumps.