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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
Hauptverfasser:	Sole, J.L., Utzet, F.
Format:	Artikel
Sprache:	Englisch
Veröffentlicht:	Інститут математики НАН України 2008
Online Zugang:	https://nasplib.isofts.kiev.ua/handle/123456789/4559
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!
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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Digital Library of Periodicals of National Academy of Sciences of Ukraine

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