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Peacocks and Associated Martingales, with Explicit Constructions - Bocconi & Springer Series Francis Hirsch 2011 edition
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Peacocks and Associated Martingales, with Explicit Constructions - Bocconi & Springer Series
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
| メディア | 書籍 Hardcover Book (ハードカバー付きの本) |
| リリース済み | 2011年5月24日 |
| ISBN13 | 9788847019072 |
| 出版社 | Springer Verlag |
| ページ数 | 388 |
| 寸法 | 155 × 235 × 25 mm · 929 g |
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