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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
| 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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