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To cite this version:J.M.P. Albin.A continuous non-Brownian motion martingale with Brownian motion marginal distributions.Statistics and Probability Letters, Elsevier, 2010, 78 (6) This is a PDF file of an unedited manuscript that has been accepted for publication. As a service to our customers we are providing this early version of the manuscript. The manuscript will undergo copyediting, typesetting, and review of the resulting galley proof before it is published in its final citable form. Please note that during the production process errors may be discovered which could affect the content, and all legal disclaimers that apply to the journal pertain. A c c e p t e d m a n u s c r i p tA continuous non-Brownian motion martingale with Brownian motion marginal distributions J.M.P. Albin 1,2,3 Department of Mathematics, Chalmers University of Technology AbstractWe construct a continuous martingale that has the same univariate marginal distributions as Brownian motion, but that is not Brownian motion.