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Peacocks and Associated Martingales, with Explicit Constructions

Bag om Peacocks and Associated Martingales, with Explicit Constructions

We call peacock an integrable process which is increasing in the convex order;In this monograph, we exhibit numerous examples of peacocks and associated martingales with the help of different methods: construction of sheets, time reversal, time inversion, self-decomposability, SDE, Skorokhod embeddings.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9788847019072
  • Indbinding:
  • Hardback
  • Sideantal:
  • 388
  • Udgivet:
  • 24. maj 2011
  • Størrelse:
  • 235x155x25 mm.
  • Vægt:
  • 793 g.
  • 8-11 hverdage.
  • 23. november 2024

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We call peacock an integrable process which is increasing in the convex order;In this monograph, we exhibit numerous examples of peacocks and associated martingales with the help of different methods: construction of sheets, time reversal, time inversion, self-decomposability, SDE, Skorokhod embeddings.

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