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
Citation
Francis Hirsch. Marc Yor. "Looking for Martingales Associated to a Self-Decomposable Law." Electron. J. Probab. 15 932 - 961, 2010. https://doi.org/10.1214/EJP.v15-786
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