On some properties of universal sigma-finite measures associated with a remarkable class of submartingales (Q653285)

Summary: In a previous work, we associated with any submartingale \(X\) of class \((\Sigma)\), defined on a filtered probability space \((\Omega, \mathcal{F}, (\mathcal{F}_t)_{t \geq 0}, \operatorname{P})\) satisfying some technical conditions, a \(\sigma\)-finite measure \(\mathcal{Q}\) on \((\Omega, \mathcal{F})\) such that, for all \(t \geq 0\), and for all events \(\Lambda_t \in \mathcal{F}_t\), \[ \mathcal{Q} [\Lambda_t, g\leq t] = \operatorname{E}_{\operatorname{P}} [\mathbf{1}_{\Lambda_t} X_t], \] where \(g\) is the last hitting time of zero by the process \(X\). In this paper, we establish some remarkable properties of this measure, from which we also deduce a universal class of penalisation results of the probability measure \(\operatorname{P}\) with respect to a large class of functionals. The measure \(\mathcal{Q}\) appears to be the unifying object in these problems.