Peacocks and Associated Martingales, with Explicit Constructions - Bocconi & Springer Series - Francis Hirsch - Books - Springer Verlag - 9788847019072 - May 24, 2011
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Peacocks and Associated Martingales, with Explicit Constructions - Bocconi & Springer Series 2011 edition

Francis Hirsch

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Peacocks and Associated Martingales, with Explicit Constructions - Bocconi & Springer Series 2011 edition

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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