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

DOI10.1007/978-3-642-03479-4_5zbMATH Open1217.91224arXiv0912.1693OpenAlexW3086134357MaRDI QIDQ3000877FDOQ3000877

A. Nikeghbali, Joseph Najnudel

Publication date: 31 May 2011

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

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.

Full work available at URL: https://arxiv.org/abs/0912.1693

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Mathematics Subject Classification ID

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

Cited In (5)

• 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 universal \(\sigma\)-finite measures related to a remarkable class of submartingales
• Some contributions to the study of stochastic processes of the classes and
• On the study of processes of \(\sum (H)\) and \(\sum_{\mathrm{s}}(H)\) classes

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