56 citations · 105 across the 6 of their papers we have counts for
7 papers
Faking Brownian motion with continuous Markov martingales
Mathias Beiglböck, George Lowther, Gudmund Pammer +1
Hamza-Klebaner posed the problem of constructing martingales with Brownian marginals that differ from Brownian motion, so called fake Brownian motions. Besides its theoretical appe…
Psi-Epistemic Theories: The Role of Symmetry
Scott Aaronson, Adam Bouland, Lynn Chua +1
Formalizing an old desire of Einstein, "psi-epistemic theories" try to reproduce the predictions of quantum mechanics, while viewing quantum states as ordinary probability distribu…
Fitting Martingales To Given Marginals
George Lowther
We consider the problem of finding a real valued martingale fitting specified marginal distributions. For this to be possible, the marginals must be increasing in the convex order…
A Generalized Backward Equation For One Dimensional Processes
George Lowther
Suppose that a real valued process X is given as a solution to a stochastic differential equation. Then, for any twice continuously differentiable function f, the backward Kolmogor…
Nondifferentiable functions of one-dimensional semimartingales
George Lowther
We consider decompositions of processes of the form where is a semimartingale. The function is not required to be differentiable, so Itô's lemma does not apply…
Properties of Expectations of Functions of Martingale Diffusions
George Lowther
Given a real valued and time-inhomogeneous martingale diffusion X, we investigate the properties of functions defined by the conditional expectation f(t,X_t)=E[g(X_T)|F_t]. We show…