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arXiv:0711.2879 [math.PR]AbstractReferencesReviewsResources

A family of martingales generated by a process with independent increments

Josep Lluís Solé, Frederic Utzet

Published 2007-11-19Version 1

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

Categories: math.PR
Subjects: 60G51, 60G44
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