Some invariance properties (of the laws) of Ocone's martingales

Lioudmilla Vostrikova; Marc Yor

Séminaire de probabilités de Strasbourg (2000)

  • Volume: 34, page 417-431

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Vostrikova, Lioudmilla, and Yor, Marc. "Some invariance properties (of the laws) of Ocone's martingales." Séminaire de probabilités de Strasbourg 34 (2000): 417-431. <http://eudml.org/doc/114051>.

@article{Vostrikova2000,
author = {Vostrikova, Lioudmilla, Yor, Marc},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {Ocone martinalges; invariance properties},
language = {eng},
pages = {417-431},
publisher = {Springer - Lecture Notes in Mathematics},
title = {Some invariance properties (of the laws) of Ocone's martingales},
url = {http://eudml.org/doc/114051},
volume = {34},
year = {2000},
}

TY - JOUR
AU - Vostrikova, Lioudmilla
AU - Yor, Marc
TI - Some invariance properties (of the laws) of Ocone's martingales
JO - Séminaire de probabilités de Strasbourg
PY - 2000
PB - Springer - Lecture Notes in Mathematics
VL - 34
SP - 417
EP - 431
LA - eng
KW - Ocone martinalges; invariance properties
UR - http://eudml.org/doc/114051
ER -

References

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  1. [1] L. Dubins, M. Emery, M. Yor : On the Lévy transformation of Brownian motions and continuous martingales. Sém. Probas. XXVII, Lect. Notes in Maths. n° 1577. Springer (1993), p. 122-132. Zbl0844.60055MR1308559
  2. [2] D. Ocone : A symmetry characterization of conditionally independent increment martingales. Proceedings of the San Felice Workshop on Stochastic Analysis. D. Nualart et M. Sanz, eds. Birkhaüser (1993), p. 147-167. Zbl0792.60035MR1265048
  3. [3] D. Revuz, M. Yor : Continuous martingales and Brownian motion. Springer, Third edition : 1999. Zbl0917.60006MR1725357
  4. [4] J. Azéma, C. Rainer, M. Yor : Une propriété des martingales pures. Séminaire de Probabilités XXX, Lect. Notes in Maths. n° 1626, Springer (1996), p. 243-254. Zbl0857.60076MR1459487
  5. [5] F. Delbaen, W. Schachermayer : The variance-optimal martingale measure for continuous processes. Bernoulli2 (1), 1996, p. 81-105. Zbl0849.60042MR1394053
  6. [6] D.W. Stroock, M. Yor : Some remarkable martingales. In : Sém. Probas XV, Lect. Notes in Maths.850, Springer (1981). Zbl0456.60048MR622590
  7. [7] M. Yor : Les filtrations de certaines martingales du mouvement brownien dans Rn, p. 427-440. In : Sém. Probas XIII, Lect. Notes in Maths.721, Springer (1979). Zbl0418.60057MR544812
  8. [8] M. Yor : Sur les martingales continues extrémales. Stochastics, vol. 2, n° 3 (1979), p. 191-196. Zbl0409.60043MR528910
  9. [9] M. Yor : Remarques sur une formule de P. Lévy. Sém. Proba. XIV, Lect. Notes in Maths n° 784, Springer (1980), p. 343-346. Zbl0429.60045MR580140

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