Peacocks and Associated Martingales with Explicit Constructions is popular PDF and ePub book, written by Francis Hirsch in 2011-05-24, it is a fantastic choice for those who relish reading online the Mathematics genre. Let's immerse ourselves in this engaging Mathematics book by exploring the summary and details provided below. Remember, Peacocks and Associated Martingales with Explicit Constructions can be Read Online from any device for your convenience.
Peacocks and Associated Martingales with Explicit Constructions Book PDF Summary
We call peacock an integrable process which is increasing in the convex order; such a notion plays an important role in Mathematical Finance. A deep theorem due to Kellerer states that a process is a peacock if and only if it has the same one-dimensional marginals as a martingale. Such a martingale is then said to be associated to this peacock. In this monograph, we exhibit numerous examples of peacocks and associated martingales with the help of different methods: construction of sheets, time reversal, time inversion, self-decomposability, SDE, Skorokhod embeddings. They are developed in eight chapters, with about a hundred of exercises.
Detail Book of Peacocks and Associated Martingales with Explicit Constructions PDF
- Author : Francis Hirsch
- Release : 24 May 2011
- Publisher : Springer Science & Business Media
- ISBN : 9788847019089
- Genre : Mathematics
- Total Page : 412 pages
- Language : English
- PDF File Size : 21,7 Mb
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