4 papers · 1 filter
Closed form expression of the multivariate standard Normal distribution under a weighted sum constraint
Frédéric Vrins
In this letter we derive the -dimensional distribution corresponding to a -dimensional i.i.d. Normal standard vector subjected to the weighted su…
Piecewise Constant Martingales and Lazy Clocks
Christophe Profeta, Frédéric Vrins
This paper discusses the possibility to find and construct \textit{piecewise constant martingales}, that is, martingales with piecewise constant sample paths evolving in a connecte…
Characteristic Function of Time-Inhomogeneous Lévy-Driven Ornstein-Uhlenbeck Processes
Frédéric Vrins
Distributional properties -including Laplace transforms- of integrals of Markov processes received a lot of attention in the literature. In this paper, we complete existing results…
Conic Martingales from Stochastic Integrals
Frédéric Vrins, Monique Jeanblanc
In this paper we introduce the concept of conic martingales}. This class refers to stochastic processes having the martingale property, but that evolve within given (possibly time-…