From an Itô type calculus for Gaussian processes to integrals of log-normal processes increasing in the convex order

スポンサーリンク

概要

• 論文の詳細を見る

• We present an Itô type formula for a Gaussian process, in which only the one-marginals of the Gaussian process are involved. Thus, this formula is well adapted to the study of processes increasing in the convex order, in a Gaussian framework. In particular, we give conditions ensuring that processes defined as integrals, with respect to one parameter, of exponentials of two-parameter Gaussian processes, are increasing in the convex order with respect to the other parameter. Finally, we construct Gaussian sheets allowing to exhibit martingales with the same one-marginals as the previously defined processes.

著者

• Hirsch Francis

  Laboratoire dAnalyse et Probabilités, Université dÉvry - Val dEssonne

• Roynette Bernard

  Institut Elie Cartan, Université Henri Poincaré

• Yor Marc

  Institut Universitaire de France, Laboratoire de Probabilités et Modèles Aléatoires, Université Pari

• Roynette Bernard

  Institut Elie Cartan Universite Henri Poincare

• Hirsch Francis

  Laboratoire D'analyse Et Probabilites Universite D'evry - Val D'essonne

• Yor Marc

  Institut Universitaire De France Laboratoire De Probabilites Et Modeles Aleatoires Universite Paris

関連論文

• From an Itô type calculus for Gaussian processes to integrals of log-normal processes increasing in the convex order
• From an Ito type calculus for Gaussian processes to integrals of log-normal processes increasing in the convex order

スポンサーリンク