On some universal \(\sigma\)-finite measures related to a remarkable class of submartingales
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Publication:424488
Publication:424488
DOI10.1016/j.spa.2012.01.010zbMath1275.60045arXiv0911.4365MaRDI QIDQ424488
Ashkan Nikeghbali, Joseph Najnudel
Publication date: 1 June 2012
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0911.4365
diffusion; convergence of probability measures; martingale; \sigma \)-finite measure; Doob's optional stopping theorem; last hitting time; submartingale of class \((\Sigma ); submartingales of class sigma
60G40: Stopping times; optimal stopping problems; gambling theory
60G44: Martingales with continuous parameter
60J60: Diffusion processes
60G07: General theory of stochastic processes
60G05: Foundations of stochastic processes