Looking for martingales associated to a self-decomposable law

DOI10.1214/EJP.v15-786zbMath1225.60131OpenAlexW1974807712MaRDI QIDQ638305

Marc Yor, Francis Hirsch

Publication date: 9 September 2011

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: http://www.emis.de/journals/EJP-ECP/_ejpecp/viewarticle4b5e.html

zbMATH Keywords

Ray-Knight theoremconvex orderSato processKarhunen-Loève representationperturbed Bessel processself-decomposable law

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25)

Related Items (4)

Unifying constructions of martingales associated with processes increasing in the convex order, via Lévy and Sato sheets ⋮ MIMICKING FINITE DIMENSIONAL MARGINALS OF A CONTROLLED DIFFUSION WITH JUMPS ⋮ From an Itô type calculus for Gaussian processes to integrals of log-normal processes increasing in the convex order ⋮ Peacocks Parametrised by a Partially Ordered Set

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