Josep Lluís Solé, Frederic Utzet, “A family of martingales generated by a process with independent increments”, Theory Stoch. Process., 2008, Volume 14(30), Issue 2,Pages <nobr>139

A family of martingales generated by a process with independent increments

Josep Lluís Solé, Frederic Utzet^a

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

Abstract: 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.

Keywords: Process with independent increments, Cumulants, Teugels martingales.

MSC: 60G51, 60G44

Language: English