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Peacocks and Associated Martingales, with Explicit Constructions - Bocconi & Springer Series 2011 edition
Francis Hirsch
Peacocks and Associated Martingales, with Explicit Constructions - Bocconi & Springer Series 2011 edition
Francis Hirsch
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.
450 pages, 2 black & white tables
Media | Books Hardcover Book (Book with hard spine and cover) |
Released | May 24, 2011 |
ISBN13 | 9788847019072 |
Publishers | Springer Verlag |
Pages | 388 |
Dimensions | 155 × 235 × 25 mm · 929 g |
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