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We call peacock an integrable process which is increasing in the convex order; such a notion plays an important role in Mathematical Finance. A deep theorem due to Kellerer states that a process is a peacock if and only if it has the same one-dimensional marginals as a martingale. Such a martingale is then said to be associated to this peacock. 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. They are developed in eight chapters, with about a hundred of exercises.
| Autorius: | Francis Hirsch, Marc Yor, Bernard Roynette, Christophe Profeta, |
| Serija: | Bocconi & Springer Series |
| Leidėjas: | Springer Milan |
| Išleidimo metai: | 2011 |
| Knygos puslapių skaičius: | 420 |
| ISBN-10: | 8847019079 |
| ISBN-13: | 9788847019072 |
| Formatas: | 241 x 160 x 29 mm. Knyga kietu viršeliu |
| Kalba: | Anglų |
Parašykite atsiliepimą apie „Peacocks and Associated Martingales, with Explicit Constructions“
