A family of martingales generated by a process with independent increments
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🧮 math.PR
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martingalesprocessfamilygeneratedincrementsindependentcalledconstruct
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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
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