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Looking for Martingales Associated to a Self-Decomposable Law


 
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1. Title Title of document Looking for Martingales Associated to a Self-Decomposable Law
 
2. Creator Author's name, affiliation, country Francis Hirsch; Université d'Evry Val d'Essonne; France
 
2. Creator Author's name, affiliation, country Marc Yor; Université Pierre et Marie Curie; France
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Convex order, Self-decomposable law, Sato process, Karhunen-Loeve representation, Perturbed Bessel process, Ray-Knight theorem
 
3. Subject Subject classification 60J25
 
4. Description Abstract We construct martingales whose 1-dimensional marginals are those of a centered self-decomposable variable multiplied by some power of time $t$. Many examples involving quadratic functionals of Bessel processes are discussed
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2010-06-27
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/786
 
10. Identifier Digital Object Identifier 10.1214/EJP.v15-786
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 15
 
12. Language English=en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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