Looking for martingales associated to a self-decomposable law

Marc Yor (1) , F. Hirsch

1 LPMA - Laboratoire de Probabilités et Modèles Aléatoires

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.

Domaines: Probabilités [math.PR]

Marc Yor, F. Hirsch. Looking for martingales associated to a self-decomposable law. Electronic Journal of Probability, 2010, 15 (29), pp.932-961. ⟨10.1214/EJP.v15-786⟩. ⟨hal-00657756⟩