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Peacocks and Associated Martingales, with Explicit Constructions

af Francis Hirsch, Marc Yor, Christophe Profeta, Bernard Roynette

indgår i Bocconi & Springer Series serien

Peacocks and Associated Martingales, with Explicit Constructions af Francis Hirsch
Bag om Peacocks and Associated Martingales, with Explicit Constructions

We call peacock an integrable process which is increasing in the convex order;In this monograph, we exhibit numerous examples of peacocks and associated martingales with the help of different methods: construction of sheets, time reversal, time inversion, self-decomposability, SDE, Skorokhod embeddings.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9788847019072
  • Indbinding:
  • Hardback
  • Sideantal:
  • 388
  • Udgivet:
  • 24. maj 2011
  • Størrelse:
  • 235x155x25 mm.
  • Vægt:
  • 793 g.
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Beskrivelse af Peacocks and Associated Martingales, with Explicit Constructions

We call peacock an integrable process which is increasing in the convex order;In this monograph, we exhibit numerous examples of peacocks and associated martingales with the help of different methods: construction of sheets, time reversal, time inversion, self-decomposability, SDE, Skorokhod embeddings.

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