A Remarkable σ-finite Measure Associated with Last Passage Times and Penalisation Problems

DOI10.1007/978-3-642-03479-4_5MaRDI QIDQ3000877zbMATH OpenOpenAlexFDO

Authors Joseph Najnudel, A. Nikeghbali

Publication date 31 May 2011

Published in Contemporary Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0912.1693, https://www.zora.uzh.ch/id/eprint/53418/1/0912.1693v1.pdf

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Financial applications of other theories (91G80)

Abstract: In this paper, we give a global view of the results we have obtained in relation with a remarkable class of submartingales, called $(Sigma)$, and its links with a universal sigma-finite measure and penalization problems on the space of continuous and cadlag paths.

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(6)

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• Some contributions to the study of stochastic processes of the classes \(\Sigma (H)\) and \((\Sigma)\)
• On σ-Finite Measures Related to the Martin Boundary of Recurrent Markov Chains
• An ideal class to construct solutions for skew Brownian motion equations
• On some properties of universal sigma-finite measures associated with a remarkable class of submartingales
• On the study of processes of \(\sum (H)\) and \(\sum_{\mathrm{s}}(H)\) classes

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