A complete characterization of local martingales which are functions of Brownian motion and its maximum (Q2642799): Difference between revisions
From MaRDI portal
Removed claim: reviewed by (P1447): Item:Q587654 |
ReferenceBot (talk | contribs) Changed an Item |
||
(4 intermediate revisions by 4 users not shown) | |||
Property / reviewed by | |||
Property / reviewed by: Klaus Schürger / rank | |||
Normal rank | |||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W2953290461 / rank | |||
Normal rank | |||
Property / arXiv ID | |||
Property / arXiv ID: math/0504462 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q3049602 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q5556844 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q5539483 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: The Skorokhod embedding problem and its offspring / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q5493562 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q4226355 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Limiting laws associated with Brownian motion perturbed by its maximum, minimum and local time, II / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q4040434 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Sur l'etude des martingales continues extrêmales / rank | |||
Normal rank |
Latest revision as of 14:45, 26 June 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | A complete characterization of local martingales which are functions of Brownian motion and its maximum |
scientific article |
Statements
A complete characterization of local martingales which are functions of Brownian motion and its maximum (English)
0 references
5 September 2007
0 references
A local martingale \((N_t)\) (\(t\geq 0)\) is called max-martingale or simply \(M\)-martingale if there is a function \(H:\mathbb R\times\mathbb R_+\to\mathbb R\) such that \(N_t=H(N_t, \sup_{s\leq t}N_s)\) \((t\geq 0)\). Such processes were first considered in a paper by \textit{J. Azéma} and \textit{M. Yor} [Sémin. Probab. XIII, Lect. Notes Math. 721, 90--115 (1979; Zbl 0414.60055)]. In the present paper it is shown that if \((N_t)\) is continuous, then \(H(N_t,\sup_{s\leq t} N_s)\) \((t\geq 0)\) is a local martingale iff there exists a locally integrable function \(f\) such that \[ H(x,y)=\int^y_0f(s)\,ds -f(y)(x-y)+H(0,0). \] Via Lévy's equivalence theorem, an analogous result holds with the maximum process replaced by the local time at \(0\).
0 references
0 references