A construction of processes with one-dimensional martingale marginals, associated with a Lévy process, via its Lévy sheet

DOI10.1215/KJM/1265899483MaRDI QIDQ965085zbMATH OpenOpenAlexFDO

Authors Francis Hirsch, Marc Yor

Publication date 21 April 2010

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

Full work available at URL https://projecteuclid.org/euclid.kjm/1265899483

zbMATH Keywords

Levy sheetMartingale Levy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Fractional processes, including fractional Brownian motion (60G22) Stable stochastic processes (60G52) General theory of stochastic processes (60G07)

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