New classes of processes in stochastic calculus for signed measures

Abstract: Let us consider a signed measure

Q v

and a probability measure

P v

such that

Q v < < P v

. Let

D

be the density of

Q v

with respect to

P v

.

H

represents the set of zeros of

D

,

. In this paper, we shall consider two classes of nonnegative processes of the form

X_{t} = N_{t} + A_{t}

. The first one is the class of semimartingales where

N D

is a cadlag local martingale and

A

is a continuous and non-decreasing process such that

(d A_{t})

is carried by

H c u p t : X_{t} = 0

. The second one is the case where

N

and

A

are null on

H

and

is a non-decreasing, continuous process such that

is carried by

. We shall show that these classes are extensions of the class

(s u m)

defined by A.Nikeghbali cite{nik} in the framework of stochastic calculus for signed measures.

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