Representation of martingales under signed measures and the study of the classes ∑s and ∑s′

DOI10.1080/17442508.2020.1712399zbMath1490.60101OpenAlexW3000076766WikidataQ126349687 ScholiaQ126349687MaRDI QIDQ5086625

Samia Sakrani

Publication date: 6 July 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2020.1712399

zbMATH Keywords

time changesrepresentation of martingalesclasses \(\sum_s\) and \(\sum'_s\)martingale under signed measuresstochastic calculus under signed measures

Mathematics Subject Classification ID

Brownian motion (60J65) Martingales with continuous parameter (60G44)

Cites Work

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• On some properties of universal sigma-finite measures associated with a remarkable class of submartingales
• A class of remarkable submartingales
• Multiplicative decompositions and frequency of vanishing of nonnegative submartingales
• Time-changed local martingales under signed measures
• New classes of processes in stochastic calculus for signed measures
• Les inegalites de sous-martingales, comme consequences de la relation de domination
• Some contributions to the study of stochastic processes of the classes and
• Processes of Class Sigma, Last Passage Times, and Drawdowns

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