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


Najnudel, J; Nikeghbali, A (2010). A remarkable sigma-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, 77-98.

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

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

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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:17 Feb 2012 21:09
Last Modified:21 Nov 2017 15:52
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://arxiv.org/abs/0912.1693
http://opac.nebis.ch/F/?local_base=NEBIS&CON_LNG=GER&func=find-b&find_code=SYS&request=006055575
http://www.springer.com/mathematics/quantitative+finance/book/978-3-642-03478-7 (Publisher)

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