| 书目名称 | Peacocks and Associated Martingales, with Explicit Constructions | | 编辑 | Francis Hirsch,Christophe Profeta,Marc Yor | | 视频video | | | 概述 | First book on this topic.A remarkable range of probabilistic tools.Numerous exercises with hints.Includes supplementary material: | | 丛书名称 | Bocconi & Springer Series | | 图书封面 |  | | 描述 | 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. | | 出版日期 | Book 2011 | | 关键词 | Brownian motion; Convex order; Markov processes; Martingales; Peacocks; quantitative finance | | 版次 | 1 | | doi | https://doi.org/10.1007/978-88-470-1908-9 | | isbn_softcover | 978-88-470-2519-6 | | isbn_ebook | 978-88-470-1908-9Series ISSN 2039-1471 Series E-ISSN 2039-148X | | issn_series | 2039-1471 | | copyright | Springer Milan 2011 |
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发表于 2025-3-21 18:03:46
