A family of martingales generated by a process with independent increments

• Date: 2008
• Main Authors: Sole, J.L., Utzet, F.
• Format: Article
• Language: English
• Published: Інститут математики НАН України 2008
• Online Access: https://nasplib.isofts.kiev.ua/handle/123456789/4559
• 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.

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...