Measure changes with extinction

DOI10.1016/J.SPL.2008.12.025MaRDI QIDQ1012118zbMATH OpenOpenAlexFDO

Authors Simon C. Harris, Matthew I. Roberts

Publication date 14 April 2009

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0811.1696

Mathematics Subject Classification ID

Continuity and singularity of induced measures (60G30)

Abstract: We consider a change of measure by a martingale $Z_t$ and clarify that in general $1/Z_t$ is only a supermartingale under the changed measure. We then give a necessary and sufficient condition for the event that the limit of the martingale is zero to coincide with the event that the martingale hits zero in finite time (up to a set of zero probability).

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Cites work

• scientific article; zbMATH DE number 975607 (Why is no real title available?)
• A spine approach to branching diffusions with applications to \({\mathcal L}^p\)-convergence of martingales
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• Probability with Martingales

Cited in

(9)

• Branching Brownian motion in a periodic environment and existence of pulsating traveling waves
• A result on power moments of L\'evy-type perpetuities and its application to the $L_p$-convergence of Biggins' martingales in branching L\'evy processes
• \(L \log L\) criterion for a class of multitype superdiffusions with non-local branching mechanisms
• The unscaled paths of branching Brownian motion
• On laws of large numbers in \(L^2\) for supercritical branching Markov processes beyond \(\lambda \)-positivity
• Supercritical super-Brownian motion with a general branching mechanism and travelling waves
• Inferring extinction from a sighting record
• Spine decomposition and \(L \log L\) criterion for superprocesses with non-local branching mechanism
• L Log L Criterion for a Class of Superdiffusions

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