Constructing self-similar martingales via two Skorokhod embeddings

Abstract : 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.
Document type :
Preprints, Working Papers, ...
Complete list of metadatas

Cited literature [22 references]  Display  Hide  Download

https://hal.archives-ouvertes.fr/hal-00466924
Contributor : Christophe Profeta <>
Submitted on : Thursday, March 25, 2010 - 12:06:41 PM
Last modification on : Wednesday, May 15, 2019 - 3:47:14 AM
Long-term archiving on: Monday, June 28, 2010 - 4:42:17 PM

File

2010-10.pdf
Files produced by the author(s)

Identifiers

  • HAL Id : hal-00466924, version 1

Citation

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

Share

Metrics

Record views

742

Files downloads

352