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Theory of Stochastic Processes, 2008, Volume 14(30), Issue 2, Pages 139–144 (Mi thsp151)  
A family of martingales generated by a process with independent increments

Josep Lluís Solé, Frederic  Utzeta

a Departament de Mathemàtiques, Facultat de Ciències, Universitat Autónoma de Barcelona,08193 Bellaterra (Barcelona), Spain
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Abstract: An explicit procedure to construct a family of martingales generated by a process with independent increments is presented. The main tools are the polynomials that give the relationship between the moments and cumulants, and a set of martingales related to the jumps of the process called Teugels martingales.
Keywords: Process with independent increments, Cumulants, Teugels martingales.
Funding agency Grant number
Ministerio de Educaci ́ on y Ciencia and FEDER grant BFM2006-06247
This research was supported by grant BFM2006-06247 of the Ministerio de Educaci ́ on y Ciencia and FEDER.
Document Type: Article
MSC: 60G51, 60G44
Language: English
Citation: Josep Lluís Solé, Frederic Utzet, “A family of martingales generated by a process with independent increments”, Theory Stoch. Process., 14(30):2 (2008), 139–144
Citation in format AMSBIB
\Bibitem{SolUtz08}
\by Josep Llu{\'\i}s~Sol\'e, Frederic ~Utzet
\paper A family of martingales generated by
a process with independent increments
\jour Theory Stoch. Process.
\yr 2008
\vol 14(30)
\issue 2
\pages 139--144
\mathnet{http://mi.mathnet.ru/thsp151}
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