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

DOI10.1215/KJM/1256219164zbMATH Open1203.60122OpenAlexW1529135606MaRDI QIDQ2654728FDOQ2654728

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

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zbMATH Keywords

infinitesimal generatorstochastic integralBrownian sheet1-martingaleBrownian

Mathematics Subject Classification ID

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

Cited In (8)

• From an Itô type calculus for Gaussian processes to integrals of log-normal processes increasing in the convex order
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• Analysis of continuous strict local martingales via \(h\)-transforms
• 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
• 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
• IDT processes and associated Lévy processes with explicit constructions

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