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The Sato Process Method

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

Abstract

We study various peacocks defined from self-decomposable laws. We construct associated martingales from Sato processes or Sato sheets.

Keywords

Characteristic Exponent Borel Function Independent Increment Compound Poisson Process Bessel Process 
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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