Looking for martingales associated to a self-decomposable law
نویسنده
چکیده
We construct martingales whose 1-dimensional marginals are those of a centered selfdecomposable variable multiplied by some power of time t. Many examples involving quadratic functionals of Bessel processes are discussed.
منابع مشابه
Unifying constructions of martingales associated with processes increasing in the convex order, via Lévy and Sato sheets
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