A family of martingales generated by a process with independent increments
Vernadsky National Library of Ukraine
Переглянути архів Інформація| Поле | Співвідношення | |
| Title |
A family of martingales generated by a process with independent increments
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| Creator |
Sole, J.L.
Utzet, F. |
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| 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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| Date |
2009-12-03T16:42:16Z
2009-12-03T16:42:16Z 2008 |
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| Type |
Article
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| Identifier |
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 http://dspace.nbuv.gov.ua/handle/123456789/4559 519.21 |
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| Language |
en
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| Publisher |
Інститут математики НАН України
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