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ЖУРНАЛЫ // Theory of Stochastic Processes // Архив

Theory Stoch. Process., 2008, том 14(30), выпуск 2, страницы 139–144 (Mi thsp151)

A family of martingales generated by a process with independent increments

Josep Lluís Solé, Frederic  Utzeta

a Departament de Mathemàtiques, Facultat de Ciències, Universitat Autónoma de Barcelona,08193 Bellaterra (Barcelona), Spain

Аннотация: 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.

Ключевые слова: Process with independent increments, Cumulants, Teugels martingales.

MSC: 60G51, 60G44

Язык публикации: английский



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