Self-similar martingales derived from Root embedding

MaRDI QIDQ6320710zbMATH OpenFDO

Authors Antoine-Marie Bogso, Mbehou Mohamed

Publication date 18 June 2019

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Martingales with continuous parameter (60G44) Continuous-time Markov processes on general state spaces (60J25)

Abstract: Given a family $(m{u}_{l}ambda,lambdageq0)$ of integrable mean-zero probability measures such that, for every $lambdageq0$, $m{u}_{l}ambda$ is the image of $m{u}_1$ under the homothety $ylongmapstosqrtlambday$, we provide a necessary and sufficient condition on $m{u}_1$ under which the Root embedding algorithm yields a self-similar martingale with one-dimensional marginals $(m{u}_{l}ambda,lambdageq0)$. Precisely, if $a{u}_{lambda}$ and $R_{lambda}$ denote the Root solution to the Skorokhod embedding problem (SEP) and the Root regular barrier for $m{u}_{l}ambda$ respectively, then this condition is equivalent to the property that $(R_{lambda},lambdageq0)$ is non-increasing in the sense of inclusion, which in turn is equivalent to the assertion that $(a{u}_{l}ambda,lambdageq0)$ is non-decreasing a.s. We show that there are many examples for which this result applies and we provide some numerical simulations to illustrate the monotonicity property of regular barriers $(R_{lambda},lambdageq0)$ in this case.

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