Наукова електронна бібліотека
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періодичних видань НАН України
A family of martingales generated by a process with independent increments
Репозиторій DSpace/Manakin
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A family of martingales generated by a process with independent increments
УДК:
519.21
Посилання:
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.
Підтримка:
This research was supported by grant BFM2006-06247 of the Ministerio de Educacion y Ciencia and FEDER.
Дата:
2008
Переглядів:
1185
Завантажень:
950
Анотація:
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.
