Constructing self-similar martingales via two Skorokhod embeddings - Archive ouverte HAL Accéder directement au contenu
Pré-Publication, Document De Travail Année : 2010

Constructing self-similar martingales via two Skorokhod embeddings

Résumé

With the help of two Skorokhod embeddings, we construct martingales which enjoy the Brownian scaling property and the (inhomogeneous) Markov property. The second method necessitates randomization, but allows to reach any law with finite moment of order 1, centered, as the distribution of such a martingale at unit time. The first method does not necessitate randomization, but an additional restriction on the distribution at unit time is needed.
Fichier principal
Vignette du fichier
2010-10.pdf (667.58 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

hal-00466924 , version 1 (25-03-2010)

Identifiants

  • HAL Id : hal-00466924 , version 1

Citer

Francis Hirsch, Christophe Profeta, Bernard Roynette, Marc Yor. Constructing self-similar martingales via two Skorokhod embeddings. 2010. ⟨hal-00466924⟩
343 Consultations
202 Téléchargements

Partager

Gmail Facebook X LinkedIn More