Repr�sentation multiplicative d'une surmartingale born�e

DOI10.1007/BF00535302MaRDI QIDQ4171356zbMATH OpenOpenAlexFDO

Authors Jacques Azema

Publication date 1978

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf00535302

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Local time and additive functionals (60J55)

Cites work

• Comultiplicative functionals and the birthing of a Markov process
• scientific article; zbMATH DE number 3469813 (Why is no real title available?)
• scientific article; zbMATH DE number 3519659 (Why is no real title available?)
• scientific article; zbMATH DE number 3574684 (Why is no real title available?)
• Seminaire de probabilités VIII. Universite de Strasbourg
• Théorie générale des processus et retournement du temps

Cited in

(7)

• Structural properties of randomized times
• Characterisation of honest times and optional semimartingales of class-\((\Sigma)\)
• Explicit description of all deflators for market models under random horizon with applications to NFLVR
• Random times and multiplicative systems
• Change of measure up to a random time: details
• Simplified calculus for semimartingales: multiplicative compensators and changes of measure
• On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation

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