A FAMILY OF MARTINGALES GENERATED BY A PROCESS WITH INDEPENDENT INCREMENTS

JOSEP LLU´IS SOL´E AND FREDERIC UTZET
Theory of Stochastic Processes Vol. 14 (30), no. 2, 2008, pp. 139–144
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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