Some contributions to the study of stochastic processes of the classes (H) and ()

DOI10.1080/17442508.2017.1307984zbMATH Open1394.60056arXiv1508.05775OpenAlexW2781793470MaRDI QIDQ4584696FDOQ4584696

Gerald Trutnau, Octave Moutsinga, Youssef Ouknine, Fulgence Eyi-Obiang

Publication date: 4 September 2018

Published in: Stochastics (Search for Journal in Brave)

Abstract: This paper consists of two independent parts. In the first one, we contribute to the study of the class $(Sigma)$. For instance, we provide a new way to characterize stochastic processes of this class. We also present some new properties and solve the Bachelier equation. In the second part, we study the class of stochastic processes $Sigma(H)$. This class was introduced in cite{f} where from tools of the theory of martingales with respect to a signed measure of cite{chav}, the authors provide a general framework and methods for dealing with processes of this class. In this work, after developing some new properties, we embed a non-atomic measure $u$ in $X$, a process of the class $Sigma(H)$. More precisely, we find a stopping time $T<infty$ such that the law of $X_T$ is $u$.

Full work available at URL: https://arxiv.org/abs/1508.05775

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zbMATH Keywords

Skorokhod embedding problemHardy-Littlewood functionclass \((\Sigma)\)relative martingalesBachelier equationclass \(\Sigma (H)\)martingale with respect to a signed measure

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Local time and additive functionals (60J55)

Cites Work

• On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation
• Formulas for stopped diffusion processes with stopping times based on the maximum
• Title not available (Why is that?)
• Processes of Class Sigma, Last Passage Times, and Drawdowns
• Doob's maximal identity, multiplicative decompositions and enlargements of filtrations
• Les inegalites de sous-martingales, comme consequences de la relation de domination
• On the time inhomogeneous skew Brownian motion
• Title not available (Why is that?)
• On some universal \(\sigma\)-finite measures related to a remarkable class of submartingales
• On some properties of universal sigma-finite measures associated with a remarkable class of submartingales
• A Remarkable σ-finite Measure Associated with Last Passage Times and Penalisation Problems
• A new construction of the \(\sigma \)-finite measures associated with submartingales of class \((\Sigma )\)
• New classes of processes in stochastic calculus for signed measures
• Title not available (Why is that?)
• On the study of processes of \(\sum (H)\) and \(\sum_{\mathrm{s}}(H)\) classes
• Multiplicative decompositions and frequency of vanishing of nonnegative submartingales
• An explicit Skorokhod embedding for the age of Brownian excursions and Azéma martingale.

Cited In (6)

• Representation of martingales under signed measures and the study of the classes ∑_s and ∑_s′
• Characterisation of honest times and optional semimartingales of class-\((\Sigma)\)
• Resolution of the skew Brownian motion equations with stochastic calculus for signed measures
• An ideal class to construct solutions for skew Brownian motion equations
• Time-changed local martingales under signed measures
• $\sigma$-Localization and $\sigma$-Martingales

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