A family of martingales generated by a process with independent increments
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 mar...
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| Datum: | 2008 |
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| Hauptverfasser: | , |
| Format: | Artikel |
| Sprache: | English |
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Інститут математики НАН України
2008
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| Online Zugang: | https://nasplib.isofts.kiev.ua/handle/123456789/4559 |
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| Назва журналу: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Zitieren: | A family of martingales generated by a process with independent increments / J.L. Sole, F. Utzet // Theory of Stochastic Processes. — 2008. — Т. 14 (30), № 2. — С. 139–144. — Бібліогр.: 9 назв.— англ. |
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Sole, J.L. Utzet, F. 2009-12-03T16:42:16Z 2009-12-03T16:42:16Z 2008 A family of martingales generated by a process with independent increments / J.L. Sole, F. Utzet // Theory of Stochastic Processes. — 2008. — Т. 14 (30), № 2. — С. 139–144. — Бібліогр.: 9 назв.— англ. 0321-3900 https://nasplib.isofts.kiev.ua/handle/123456789/4559 519.21 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. This research was supported by grant BFM2006-06247 of the Ministerio de Educacion y Ciencia and FEDER. en Інститут математики НАН України A family of martingales generated by a process with independent increments Article published earlier |
| institution |
Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| collection |
DSpace DC |
| title |
A family of martingales generated by a process with independent increments |
| spellingShingle |
A family of martingales generated by a process with independent increments Sole, J.L. Utzet, F. |
| title_short |
A family of martingales generated by a process with independent increments |
| title_full |
A family of martingales generated by a process with independent increments |
| title_fullStr |
A family of martingales generated by a process with independent increments |
| title_full_unstemmed |
A family of martingales generated by a process with independent increments |
| title_sort |
family of martingales generated by a process with independent increments |
| author |
Sole, J.L. Utzet, F. |
| author_facet |
Sole, J.L. Utzet, F. |
| publishDate |
2008 |
| language |
English |
| publisher |
Інститут математики НАН України |
| format |
Article |
| description |
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.
|
| issn |
0321-3900 |
| url |
https://nasplib.isofts.kiev.ua/handle/123456789/4559 |
| citation_txt |
A family of martingales generated by a process with independent increments / J.L. Sole, F. Utzet // Theory of Stochastic Processes. — 2008. — Т. 14 (30), № 2. — С. 139–144. — Бібліогр.: 9 назв.— англ. |
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AT solejl afamilyofmartingalesgeneratedbyaprocesswithindependentincrements AT utzetf afamilyofmartingalesgeneratedbyaprocesswithindependentincrements AT solejl familyofmartingalesgeneratedbyaprocesswithindependentincrements AT utzetf familyofmartingalesgeneratedbyaprocesswithindependentincrements |
| first_indexed |
2025-11-30T09:12:56Z |
| last_indexed |
2025-11-30T09:12:56Z |
| _version_ |
1850857121708507136 |