A family of martingales generated by a process with independent increments

Details A family of martingales generated by a process with independent increments A family of martingales generated by a process with independent increments

2007-11-19

arxiv.org/abs/0711.2879v1

Mathematics

Probability

Scientific paper

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

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