A construction of processes with one-dimensional martingale marginals, associated with a Lévy process, via its Lévy sheet
type: Item
instance of: scholarly article
title: A construction of processes with one-dimensional martingale marginals, associated with a Lévy process, via its Lévy sheet
zbMATH Open document ID: 1191.60040
author: Francis Hirsch
author: Marc Yor
published in: Journal of Mathematics of Kyoto University
publication date: 2010-04-21T00:00:00Z
full work available at URL: https://projecteuclid.org/euclid.kjm/1265899483
review text: The authors give adequate extension, in the framework of a general Lévy process, of their previous construction of processes with one-dimensional martingale marginals, done originally in the set-up of Brownian motion. The Lévy process framework allows to streamline their previous arguments, as well as to reach a larger class of such processes, even in the Brownian case. The authors give some illustrations of the construction when the Lévy process is either a Gamma process or a Poisson process. The authors also work in the fractional Brownian and stable frameworks.
reviewed by: Marius Iosifescu
Mathematics Subject Classification ID: 60G07
Mathematics Subject Classification ID: 60G51
Mathematics Subject Classification ID: 60G52
Mathematics Subject Classification ID: 60G22
zbMATH DE Number: 5696858
zbMATH Keywords: Martingale Levy process
zbMATH Keywords: Levy sheet
MaRDI profile type: Publication
OpenAlex ID: W1525990666
DOI: 10.1215/KJM/1265899483
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description: scientific article; zbMATH DE number 5696858