Geodesic
A family of martingales generated by
Teoriâ slučajnyh processov, Tome 14 (2008) no. 2, pp. 139-144

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An explicit procedure to construct a family of martingales generated by a process with independent increments is presented. The main tools are the polynomials that give the relationship between the moments and cumulants, and a set of martingales related to the jumps of the process called Teugels martingales.
Keywords: Process with independent increments
Mots-clés : Cumulants, Teugels martingales. 
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     author = {Josep Llu{\'\i}s Sol\'e and Frederic Utzet},
     title = {A family of martingales generated by},
     journal = {Teori\^a slu\v{c}ajnyh processov},
     pages = {139--144},
     publisher = {mathdoc},
     volume = {14},
     number = {2},
     year = {2008},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/THSP_2008_14_2_a13/}
}
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Josep Lluís Solé; Frederic Utzet. A family of martingales generated by. Teoriâ slučajnyh processov, Tome 14 (2008) no. 2, pp. 139-144. http://geodesic.mathdoc.fr/item/THSP_2008_14_2_a13/