Marc Yor

Francis Hirsch

Christophe Profeta

Bernard Roynette

We call peacock an integrable process which is increasing in the convex order; such a notion plays an important role in Mathematical Finance. A deep theorem due to Kellerer states that a process is a peacock if and only if it has the same one-dimensional marginals as a martingale. Such a martingale is then said to be associated to this peacock. In this monograph, we exhibit numerous examples of peacocks and associated martingales with the help of different methods: construction of sheets, time reversal, time inversion, self-decomposability, SDE, Skorokhod embeddings. They are developed in eight chapters, with about a hundred of exercises.

Peacocks and Associated Martingales, with Explicit Constructions

Gilles Lacombe

This book presents the fundamental function spaces and their duals, explores operator theory and finally develops the theory of distributions up to significant applications such as Sobolev spaces and Dirichlet problems. Includes an assortment of well formulated exercises, with answers and hints collected at the end of the book.

Francis Hirsch

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