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

DOI10.1215/KJM/1256219164MaRDI QIDQ2654728zbMATH OpenOpenAlexFDO

Authors Francis Hirsch, Marc Yor

Publication date 21 January 2010

Published in Journal of Mathematics of Kyoto University (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.kjm/1256219164

zbMATH Keywords

infinitesimal generatorstochastic integralBrownian sheet1-martingaleBrownian

Mathematics Subject Classification ID

Random fields (60G60) Brownian motion (60J65) Stochastic integrals (60H05)

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Cited in

(8)

• From an Itô type calculus for Gaussian processes to integrals of log-normal processes increasing in the convex order
• A Brownian sheet martingale with the same marginals as the arithmetic average of geometric Brownian motion
• Analysis of continuous strict local martingales via \(h\)-transforms
• Unifying constructions of martingales associated with processes increasing in the convex order, via Lévy and Sato sheets
• A construction of processes with one-dimensional martingale marginals, associated with a Lévy process, via its Lévy sheet
• Applying Itō's motto: ``Look at the infinite dimensional picture by constructing sheets to obtain processes increasing in the convex order
• Monotone convex order for the McKean-Vlasov processes
• IDT processes and associated Lévy processes with explicit constructions

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