Making Markov martingales meet marginals: With explicit constructions
type: Item
instance of: scholarly article
title: Making Markov martingales meet marginals: With explicit constructions
zbMATH Open document ID: 1009.60037
author: Dilip B. Madan
author: Marc Yor
published in: Bernoulli
publication date: 2003-04-07T00:00:00Z
review text: This paper presents three generic constructions of martingales that all have the Markov property with known and prespecified marginal densities. These constructions are further investigated for the special case when the prespecified marginals satisfy the scaling property and hence the only datum needed for the construction is the density at unit time. Interesting relations with stochastic orders are presented, along with numerous examples of the resulting martingales.
reviewed by: Yuhu Feng
Mathematics Subject Classification ID: 60G44
Mathematics Subject Classification ID: 60J99
zbMATH DE Number: 1824665
zbMATH Keywords: Azema martingale
zbMATH Keywords: convex order
zbMATH Keywords: self-similar process
zbMATH Keywords: Skorokhod embedding
MaRDI profile type: Publication
description: scientific article; zbMATH DE number 1824665