UZH-Logo

Maintenance Infos

A remarkable σ-finite measure associated with last passage times and penalisation problems


Najnudel, J; Nikeghbali, A (2010). A remarkable σ-finite measure associated with last passage times and penalisation problems. In: Chiarella, C; Novikov, A. Contemporary quantitative finance : essays in honour of Eckhard Platen. Berlin, DE: Springer, 77-97.

Abstract

In this paper, we give a global view of the results we have obtained in relation with a remarkable class of submartingales, called (Σ), and which are stated by the authors in [“On some universal σ-finite measures and some extensions of Doob's optional stopping theorem”, arXiv:0906.1782 (2009); “A new kind of augmentation of filtrations”, arXiv:0910.4959 (2009); “On some properties of a universal sigma-finite measure associated with a remarkable class of submartingales”, arXiv:0911.2571 (2009); and “On penalisation results related with a remarkable class of submartingales”, arXiv:0911.4365 (2009)]. More precisely, we associate to a given submartingale in this class (Σ), defined on a filtered probability space (Ω,ℱ,P,(ℱ t ) t≥0 ), satisfying some technical conditions, a σ-finite measure

In this paper, we give a global view of the results we have obtained in relation with a remarkable class of submartingales, called (Σ), and which are stated by the authors in [“On some universal σ-finite measures and some extensions of Doob's optional stopping theorem”, arXiv:0906.1782 (2009); “A new kind of augmentation of filtrations”, arXiv:0910.4959 (2009); “On some properties of a universal sigma-finite measure associated with a remarkable class of submartingales”, arXiv:0911.2571 (2009); and “On penalisation results related with a remarkable class of submartingales”, arXiv:0911.4365 (2009)]. More precisely, we associate to a given submartingale in this class (Σ), defined on a filtered probability space (Ω,ℱ,P,(ℱ t ) t≥0 ), satisfying some technical conditions, a σ-finite measure

Citations

Altmetrics

Downloads

19 downloads since deposited on 14 Jan 2012
11 downloads since 12 months
Detailed statistics

Additional indexing

Item Type:Book Section, refereed, original work
Communities & Collections:07 Faculty of Science > Institute of Mathematics
Dewey Decimal Classification:510 Mathematics
Language:English
Date:2010
Deposited On:14 Jan 2012 21:59
Last Modified:05 Apr 2016 15:16
Publisher:Springer
ISBN:978-3-642-03478-7 (P)
Publisher DOI:https://doi.org/10.1007/978-3-642-03479-4_5
Related URLs:http://www.springer.com/mathematics/quantitative+finance/book/978-3-642-03478-7 (Publisher)
http://arxiv.org/abs/0912.1693
Permanent URL: https://doi.org/10.5167/uzh-53418

Download

[img]
Preview
Content: Accepted Version
Filetype: PDF
Size: 255kB
View at publisher

TrendTerms

TrendTerms displays relevant terms of the abstract of this publication and related documents on a map. The terms and their relations were extracted from ZORA using word statistics. Their timelines are taken from ZORA as well. The bubble size of a term is proportional to the number of documents where the term occurs. Red, orange, yellow and green colors are used for terms that occur in the current document; red indicates high interlinkedness of a term with other terms, orange, yellow and green decreasing interlinkedness. Blue is used for terms that have a relation with the terms in this document, but occur in other documents.
You can navigate and zoom the map. Mouse-hovering a term displays its timeline, clicking it yields the associated documents.

Author Collaborations