A family of martingales generated by a process with independent increments

Josep Lluís Solé; Frederic Utzet

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arXiv · 0711.2879

A family of martingales generated by a process with independent increments

Josep Lluís Solé·Frederic Utzet

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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

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Josep Lluís Solé, Frederic Utzet. 2007-11-19. A family of martingales generated by a process with independent increments. https://arxiv.org/abs/0711.2879

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