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 Electronic Journal of Probability > Vol. 15(2010) > Paper 29 open journal systems 


Looking for martingales associated to a self-decomposable law

Francis Hirsch, Université d'Evry Val d'Essonne
Marc Yor,


Abstract
We construct martingales whose 1-dimensional marginals are those of a centered self-decomposable variable multiplied by some power of time $t$. Many examples involving quadratic functionals of Bessel processes are discussed


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Pages: 932-961

Published on: June 27, 2010
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Electronic Journal of Probability. ISSN: 1083-6489