From an Itô type calculus for Gaussian processes to integrals of log-normal processes increasing in the convex order
From MaRDI portal
Publication:719087
DOI10.2969/jmsj/06330887zbMath1233.60008MaRDI QIDQ719087
Marc Yor, Bernard Roynette, Francis Hirsch
Publication date: 27 September 2011
Published in: Journal of the Mathematical Society of Japan (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2969/jmsj/06330887
Gaussian process; convex order; Itô's calculus; 1-martingale; Gaussian sheet; Itô type formula; log-normal process
60G15: Gaussian processes
60E15: Inequalities; stochastic orderings
60G44: Martingales with continuous parameter
Related Items
IDT processes and associated Lévy processes with explicit constructions, White noise-based stochastic calculus with respect to multifractional Brownian motion, Peacocks Obtained by Normalisation: Strong and Very Strong Peacocks
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Peacocks and associated martingales, with explicit constructions
- Unifying constructions of martingales associated with processes increasing in the convex order, via Lévy and Sato sheets
- Looking for martingales associated to a self-decomposable law
- Construction of pure states in mean field models for spin glasses
- Stopping distributions for right processes
- A construction of processes with one-dimensional martingale marginals, associated with a Lévy process, via its Lévy sheet
- A Brownian sheet martingale with the same marginals as the arithmetic average of geometric Brownian motion
- Une inegalité du type de Slepian et Gordon sur les processus gaussiens. (An inequality of Slepian and Gordon type for Gaussian processes)
- On a one-parameter generalization of the Brownian bridge and associated quadratic functionals
- Generalized sweeping-out and probability
- The stopping distributions of a Markov process
- Markov-Komposition und eine Anwendung auf Martingale. (Markov compositions and an application to martingales)
- A construction of processes with one dimensional martingale marginals, based upon path-space Ornstein-Uhlenbeck processes and the Brownian sheet
- Gaussian Hilbert Spaces
- The Existence of Probability Measures with Given Marginals
