On some universal -finite measures related to a remarkable class of submartingales

DOI10.1016/J.SPA.2012.01.010zbMATH Open1275.60045arXiv0911.4365OpenAlexW2017136963MaRDI QIDQ424488FDOQ424488

Joseph Najnudel, A. Nikeghbali

Publication date: 1 June 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: Is this paper we study penalisations of diffusions satisfying some technical conditions, generalizing a result obtained by Najnudel, Roynette and Yor. If one of these diffusions has probability distribution $mathbbP$, then our result can be described as follows: for a large class of families of probability measures $(mathbb{Q}_t{)}_{tgeq0}$, each of them being absolutely continuous with respect to $mathbbP$, there exists a probability $mathbb{Q}_{infty}$ such that for all events $Lambda$ depending only on the canonical trajectory up to a fixed time, $mathbb{Q}_t(Lambda)$ tends to $mathbb{Q}_{infty}(Lambda)$ when $t$ goes to infinity. In the cases we study here, the limit measure $mathbb{Q}_{infty}$ is absolutely continous with respect to a sigma-finite measure $mathcalQ$, which does not depend on the choice of the family of probabilities $(mathbb{Q}_t{)}_{tgeq0}$, but only on $mathbbP$. The relation between $mathbbP$ and $mathcalQ$ is obtained in a very general framework by the authors of this paper.

Full work available at URL: https://arxiv.org/abs/0911.4365

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zbMATH Keywords

martingalediffusionconvergence of probability measures\sigma \)-finite measureDoob's optional stopping theoremlast hitting timesubmartingale of class \((\Sigma )submartingales of class sigma

Mathematics Subject Classification ID

Diffusion processes (60J60) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) General theory of stochastic processes (60G07) Foundations of stochastic processes (60G05)

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Cited In (11)

• On the rareness of generalized sub- and supermartingales in the class of all uniformlyL₁bounded stochastic processes
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• A remarkable \(\sigma\)-finite measure unifying supremum penalisations for a stable Lévy process
• A new construction of the \(\sigma \)-finite measures associated with submartingales of class \((\Sigma )\)
• A Remarkable σ-finite Measure Associated with Last Passage Times and Penalisation Problems
• A reading guide for last passage times with financial applications in view
• On the time inhomogeneous skew Brownian motion
• On some universal \(\sigma\)-finite measures related to a remarkable class of submartingales
• $\sigma$-Localization and $\sigma$-Martingales
• A class of remarkable submartingales
• Some contributions to the study of stochastic processes of the classes and

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