Logo - springer
Slogan - springer

Mathematics - Probability Theory and Stochastic Processes | Peacocks and Associated Martingales, with Explicit Constructions

Peacocks and Associated Martingales, with Explicit Constructions

Hirsch, F., Profeta, C., Roynette, B., Yor, M.

2011, XXXII, 388 p.

Available Formats:
eBook
Information

Springer eBooks may be purchased by end-customers only and are sold without copy protection (DRM free). Instead, all eBooks include personalized watermarks. This means you can read the Springer eBooks across numerous devices such as Laptops, eReaders, and tablets.

You can pay for Springer eBooks with Visa, Mastercard, American Express or Paypal.

After the purchase you can directly download the eBook file or read it online in our Springer eBook Reader. Furthermore your eBook will be stored in your MySpringer account. So you can always re-download your eBooks.

 
$109.00

(net) price for USA

ISBN 978-88-470-1908-9

digitally watermarked, no DRM

Included Format: PDF

download immediately after purchase


learn more about Springer eBooks

add to marked items

Hardcover
Information

Hardcover version

You can pay for Springer Books with Visa, Mastercard, American Express or Paypal.

Standard shipping is free of charge for individual customers.

 
$139.00

(net) price for USA

ISBN 978-88-470-1907-2

free shipping for individuals worldwide

online orders shipping within 2-3 days.


add to marked items

Softcover
Information

Softcover (also known as softback) version.

You can pay for Springer Books with Visa, Mastercard, American Express or Paypal.

Standard shipping is free of charge for individual customers.

 
$139.00

(net) price for USA

ISBN 978-88-470-2519-6

free shipping for individuals worldwide

usually dispatched within 3 to 5 business days


add to marked items

  • First book on this topic
  • Features a remarkable range of probabilistic tools
  • Includes numerous exercises with hints

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.

Content Level » Research

Keywords » Brownian motion - Convex order - Markov processes - Martingales - Peacocks

Related subjects » Probability Theory and Stochastic Processes - Quantitative Finance

Table of contents 

Popular Content within this publication 

 

Articles

Read this Book on Springerlink

Services for this book

New Book Alert

Get alerted on new Springer publications in the subject area of Probability Theory and Stochastic Processes.