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2010 Looking for Martingales Associated to a Self-Decomposable Law
Francis Hirsch, Marc Yor
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Electron. J. Probab. 15: 932-961 (2010). DOI: 10.1214/EJP.v15-786

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

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Francis Hirsch. Marc Yor. "Looking for Martingales Associated to a Self-Decomposable Law." Electron. J. Probab. 15 932 - 961, 2010. https://doi.org/10.1214/EJP.v15-786

Information

Accepted: 27 June 2010; Published: 2010
First available in Project Euclid: 1 June 2016

zbMATH: 1225.60131
MathSciNet: MR2659753
Digital Object Identifier: 10.1214/EJP.v15-786

Subjects:
Primary: 60J25

JOURNAL ARTICLE
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Vol.15 • 2010
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