Applying Itō's motto: ``Look at the infinite dimensional picture by constructing sheets to obtain processes increasing in the convex order
DOI10.1007/s10998-010-3195-8zbMath1274.60052OpenAlexW2093390115MaRDI QIDQ1945283
Marc Yor, Francis Hirsch, Bernard Roynette
Publication date: 5 April 2013
Published in: Periodica Mathematica Hungarica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10998-010-3195-8
Processes with independent increments; Lévy processes (60G51) Random fields (60G60) Gaussian processes (60G15) Inequalities; stochastic orderings (60E15) Generalizations of martingales (60G48) Martingales with continuous parameter (60G44)
Related Items (3)
Cites Work
- Unnamed Item
- A construction of processes with one-dimensional martingale marginals, associated with a Lévy process, via its Lévy sheet
- A Brownian sheet martingale with the same marginals as the arithmetic average of geometric Brownian motion
- Brownian local time approximated by a Wiener sheet
- The sharp Markov property of Lévy sheets
- Self-similar processes with independent increments associated with Lévy and Bessel processes.
- Around Yor's theorem on the Brownian sheet and local time
- Representations, decompositions and sample function continuity of random fields with independent increments
- A tribute to Professor Kiyosi Itô
- A construction of processes with one dimensional martingale marginals, based upon path-space Ornstein-Uhlenbeck processes and the Brownian sheet
- The Malliavin Calculus and Related Topics
- Gaussian Hilbert Spaces
This page was built for publication: Applying Itō's motto: ``Look at the infinite dimensional picture by constructing sheets to obtain processes increasing in the convex order
