Publication: On some universal sigma-finite measures related to a remarkable class of submartingales
On some universal sigma-finite measures related to a remarkable class of submartingales
Date
Date
Date
Citations
Najnudel, J., & Nikeghbali, A. (2012). On some universal sigma-finite measures related to a remarkable class of submartingales. Stochastic Processes and Their Applications, 122(4), 1582–1600. https://doi.org/10.1016/j.spa.2012.01.010
Abstract
Abstract
Abstract
In this paper, for any submartingale of class (Sigma) defined on a filtered probability space (Omega, F, P, (F-t)(t >= 0)) satisfying some technical conditions, we associate a sigma-finite measure Q on (Omega, F), such that for all t >= 0, and for all events Lambda(t) is an element of F-t:
Q[Lambda(t), g <= t ] = Ep[1(Lambda t)X(t)].
where g is the last time for which the process X hits zero. The existence of Q has already been proven in several particular cases, some of them are related with Brownian penalization, and others are in
Metrics
Downloads
Views
Additional indexing
Creators (Authors)
- Najnudel, J
- Nikeghbali, Ashkan
Journal/Series Title
Journal/Series Title
Journal/Series Title
Volume
Volume
Volume
Number
Number
Number
Page range/Item number
Page range/Item number
Page range/Item number
Page end
Page end
Page end
Item Type
Item Type
Item Type
In collections
Language
Language
Language
Publication date
Publication date
Publication date
Date available
Date available
Date available
ISSN or e-ISSN
ISSN or e-ISSN
ISSN or e-ISSN
OA Status
OA Status
OA Status
Publisher DOI
Metrics
Downloads
Views
Citations
Najnudel, J., & Nikeghbali, A. (2012). On some universal sigma-finite measures related to a remarkable class of submartingales. Stochastic Processes and Their Applications, 122(4), 1582–1600. https://doi.org/10.1016/j.spa.2012.01.010
