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A family of martingales generated by
a process with independent increments
Josep Lluís Solé, Frederic Utzeta a Departament de Mathemàtiques, Facultat de Ciències, Universitat Autónoma de Barcelona,08193 Bellaterra (Barcelona), Spain
Аннотация:
An explicit procedure to construct a family of martingales generated by a process
with independent increments is presented. The main tools are the polynomials that
give the relationship between the moments and cumulants, and a set of martingales
related to the jumps of the process called Teugels martingales.
Ключевые слова:
Process with independent increments, Cumulants, Teugels martingales.
Образец цитирования:
Josep Lluís Solé, Frederic Utzet, “A family of martingales generated by
a process with independent increments”, Theory Stoch. Process., 14(30):2 (2008), 139–144
Образцы ссылок на эту страницу:
https://www.mathnet.ru/rus/thsp151 https://www.mathnet.ru/rus/thsp/v14/i2/p139
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Страница аннотации: | 59 | PDF полного текста: | 40 | Список литературы: | 20 |
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