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The Sheet Method

  • Francis Hirsch
  • Christophe Profeta
  • Bernard Roynette
  • Marc Yor
Part of the B&SS — Bocconi & Springer Series book series (BS)

Abstract

To some peacocks constructed from a Brownian motion, we associate a martingale defined with the help of the Brownian sheet. We then generalize this approach in two directions:
  1. 1)

    We first replace the Brownian motion (resp. the Brownian sheet) by a Lévy process (resp. a Lévy sheet).

     
  2. 2)

    We then replace the Brownian motion (resp. the Brownian sheet) by a Gaussian process (resp. a Gaussian sheet).

     

Keywords

Brownian Motion Gaussian Process Characteristic Exponent Standard Brownian Motion Continuous Version 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Italia 2011

Authors and Affiliations

  • Francis Hirsch
    • 1
  • Christophe Profeta
    • 2
  • Bernard Roynette
    • 2
  • Marc Yor
    • 3
    • 4
  1. 1.Laboratoire d’Analyse et ProbabilitésUniversité d’Évry-Val d’EssonneFrance
  2. 2.Institut Élie CartanUniversité Henri PoincaréNancy
  3. 3.Laboratoire de Probabilités et Modèles AléatoiresUniversité Pierre et Marie CurieParis
  4. 4.Institut Universitaire de FranceFrance

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