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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| Date: | 2008 |
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| Main Authors: | , |
| Format: | Article |
| Language: | English |
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Інститут математики НАН України
2008
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| Online Access: | https://nasplib.isofts.kiev.ua/handle/123456789/4559 |
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| Journal Title: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Cite this: | 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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Digital Library of Periodicals of National Academy of Sciences of Ukraine| _version_ | 1862628979749421056 |
|---|---|
| author | Sole, J.L. Utzet, F. |
| author_facet | Sole, J.L. Utzet, F. |
| 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. |
| collection | DSpace DC |
| 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.
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| first_indexed | 2025-11-30T09:12:56Z |
| format | Article |
| fulltext | |
| id | nasplib_isofts_kiev_ua-123456789-4559 |
| institution | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| issn | 0321-3900 |
| language | English |
| last_indexed | 2025-11-30T09:12:56Z |
| publishDate | 2008 |
| publisher | Інститут математики НАН України |
| record_format | dspace |
| spelling | 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 |
| spellingShingle | A family of martingales generated by a process with independent increments Sole, J.L. Utzet, F. |
| title | 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_short | A family of martingales generated by a process with independent increments |
| title_sort | family of martingales generated by a process with independent increments |
| url | https://nasplib.isofts.kiev.ua/handle/123456789/4559 |
| work_keys_str_mv | AT solejl afamilyofmartingalesgeneratedbyaprocesswithindependentincrements AT utzetf afamilyofmartingalesgeneratedbyaprocesswithindependentincrements AT solejl familyofmartingalesgeneratedbyaprocesswithindependentincrements AT utzetf familyofmartingalesgeneratedbyaprocesswithindependentincrements |