Can time-homogeneous diffusions produce any distribution?
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🧮 math.PR
keywords
diffusionsdistributiongiventime-homogeneousaffirmativelyallowedanswercentred
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Given a centred distribution, can one find a time-homogeneous martingale diffusion starting at zero which has the given law at time 1? We answer the question affirmatively if generalized diffusions are allowed.
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