Unifying constructions of martingales associated with processes increasing in the convex order, via Levy and Sato sheets

作者：Hirsch Francis^*; Roynette Bernard; Yor Marc

来源：Expositiones Mathematicae, 2010, 28(4): 299-324.

DOI：10.1016/j.exmath.2010.04.001

In this paper, we present a unified framework for our previous constructions of martingales with the same one-dimensional marginals as particular cases of processes increasing in the convex order. This framework encompasses our former uses of Levy sheets, Sato sheets and self-decomposable laws. New examples of processes increasing in the convex order are also exhibited, but we do not know how to associate to them martingales with the same one-dimensional marginals.

• 出版日期2010