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

DOI10.1080/17442508.2017.1307984MaRDI QIDQ4584696zbMATH OpenOpenAlexFDO

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

Publication date 4 September 2018

Published in Stochastics (Search for Journal in Brave)

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

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)

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 $u$.

Recommendations

• On the study of processes of \(\sum (H)\) and \(\sum_{\mathrm{s}}(H)\) classes
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Cites work

• scientific article; zbMATH DE number 3644254 (Why is no real title available?)
• scientific article; zbMATH DE number 140554 (Why is no real title available?)
• scientific article; zbMATH DE number 2046390 (Why is no real title available?)
• 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 \((\Sigma )\)
• An explicit Skorokhod embedding for the age of Brownian excursions and Azéma martingale.
• Doob's maximal identity, multiplicative decompositions and enlargements of filtrations
• Formulas for stopped diffusion processes with stopping times based on the maximum
• Les inegalites de sous-martingales, comme consequences de la relation de domination
• Multiplicative decompositions and frequency of vanishing of nonnegative submartingales
• New classes of processes in stochastic calculus for signed measures
• On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation
• 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
• On the time inhomogeneous skew Brownian motion
• Processes of class Sigma, last passage times, and drawdowns

Cited in

(8)

• 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
• Representation of martingales under signed measures and the study of the classes \(\sum_s\) and \(\sum'_s\)
• Characterization of submartingales of a new class \((\Sigma^r)\)
• \sigma-Localization and \sigma-Martingales
• On the study of processes of \(\sum (H)\) and \(\sum_{\mathrm{s}}(H)\) classes

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