Peacocks and Associated Martingales, with Explicit Constructions

Language: Anglais
Cover of the book Peacocks and Associated Martingales, with Explicit Constructions

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We call peacock an integrable process which is increasing in the convex order
Some Examples of Peacocks.- The Sheet Method.- The Time Reversal Method.- The Time Inversion Method.- The Sato Process Method.- The Stochastic Differential Equation Method.- The Skorokhod Embedding (SE) Method. Comparison of Multidimensional Marginals.

First book on this topic

A remarkable range of probabilistic tools

Numerous exercises with hints