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math.PR2021
A Strong Law of Large Numbers for Positive Random Variables
Ioannis Karatzas, Walter Schachermayer
In the spirit of the famous KOMLÓS (1967) theorem, every sequence of nonnegative, measurable functions on a probability space, contains a subsequence which -…
math.PR2021
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…