A family of martingales generated by a process with independent increments
Probability
2007-11-20 v1
Abstract
An explicit procedure to construct a family of martingales generated by a process with independent increments is presented. The main tools are the polynomials that give the relationship between the moments and cumulants, and a set of martingales related to the jumps of the process called Teugels martingales
Keywords
Cite
@article{arxiv.0711.2879,
title = {A family of martingales generated by a process with independent increments},
author = {Josep Lluís Solé and Frederic Utzet},
journal= {arXiv preprint arXiv:0711.2879},
year = {2007}
}