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＜電子ブック＞
Peacocks and Associated Martingales, with Explicit Constructions / by Francis Hirsch, Christophe Profeta, Bernard Roynette, Marc Yor
(Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics. ISSN:2039148X)

版	1st ed. 2011.
出版者	(Milano : Springer Milan : Imprint: Springer)
出版年	2011
大きさ	XXXII, 388 p : online resource
著者標目	*Hirsch, Francis author Profeta, Christophe author Roynette, Bernard author Yor, Marc author SpringerLink (Online service)
件　名	LCSH:Probabilities LCSH:Social sciences—Mathematics FREE:Probability Theory FREE:Mathematics in Business, Economics and Finance
一般注記	Some Examples of Peacocks -- The Sheet Method -- The Time Reversal Method -- The Time Inversion Method -- The Sato Process Method -- The Stochastic Differential Equation Method -- The Skorokhod Embedding (SE) Method. Comparison of Multidimensional Marginals We call peacock an integrable process which is increasing in the convex order; such a notion plays an important role in Mathematical Finance. A deep theorem due to Kellerer states that a process is a peacock if and only if it has the same one-dimensional marginals as a martingale. Such a martingale is then said to be associated to this peacock. 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… They are developed in eight chapters, with about a hundred of exercises HTTP:URL=https://doi.org/10.1007/978-88-470-1908-9

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