Applying Itō's motto: ``Look at the infinite dimensional picture by constructing sheets to obtain processes increasing in the convex order

DOI10.1007/s10998-010-3195-8zbMath1274.60052OpenAlexW2093390115MaRDI QIDQ1945283

Marc Yor, Francis Hirsch, Bernard Roynette

Publication date: 5 April 2013

Published in: Periodica Mathematica Hungarica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10998-010-3195-8

zbMATH Keywords

convex orderLévy sheet1-martingalePCOCGaussian sheetSato sheet

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Random fields (60G60) Gaussian processes (60G15) Inequalities; stochastic orderings (60E15) Generalizations of martingales (60G48) Martingales with continuous parameter (60G44)

Related Items (3)

Peacocks Obtained by Normalisation: Strong and Very Strong Peacocks ⋮ Unifying constructions of martingales associated with processes increasing in the convex order, via Lévy and Sato sheets ⋮ IDT processes and associated Lévy processes with explicit constructions

Cites Work

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• A construction of processes with one dimensional martingale marginals, based upon path-space Ornstein-Uhlenbeck processes and the Brownian sheet
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