A construction of processes with one-dimensional martingale marginals, associated with a Lévy process, via its Lévy sheet
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Publication:965085
DOI10.1215/kjm/1265899483zbMath1191.60040OpenAlexW1525990666MaRDI QIDQ965085
Publication date: 21 April 2010
Published in: Journal of Mathematics of Kyoto University (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.kjm/1265899483
Processes with independent increments; Lévy processes (60G51) Fractional processes, including fractional Brownian motion (60G22) General theory of stochastic processes (60G07) Stable stochastic processes (60G52)
Related Items (6)
Unifying constructions of martingales associated with processes increasing in the convex order, via Lévy and Sato sheets ⋮ Applying Itō's motto: ``Look at the infinite dimensional picture by constructing sheets to obtain processes increasing in the convex order ⋮ IDT processes and associated Lévy processes with explicit constructions ⋮ MIMICKING FINITE DIMENSIONAL MARGINALS OF A CONTROLLED DIFFUSION WITH JUMPS ⋮ Analysis of continuous strict local martingales via \(h\)-transforms ⋮ From an Itô type calculus for Gaussian processes to integrals of log-normal processes increasing in the convex order
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