On the study of processes of (H) and _s(H) classes

DOI10.1007/S10959-015-0640-XMaRDI QIDQ521963zbMATHOpenAlexFDO

Authors Fulgence Eyi-Obiang, Youssef Ouknine, Octave Moutsinga

Publication date 12 April 2017

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1407.3728

zbMATH Keywords

submartingalessigned measuresstochastic calculuscontinuous martingaleslast passage times

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Generalized stochastic processes (60G20) Martingales with continuous parameter (60G44) Stochastic analysis (60H99) General theory of stochastic processes (60G07)

Abstract: In papers by Yor, a remarkable class $(Sigma)$ of submartingales is introduced, which, up to technicalities, are submartingales $(X_t{)}_{tgeq0}$ whose increasing process is carried by the times $t$ such that $X_t=0$. These submartingales have several applications in stochastic analysis: for example, the resolution of Skorokhod embedding problem, the study of Brownian local times and the study of zeros of continuous martingales. The submartingales of class $(Sigma)$ have been extensively studied in a series of articles by Nikeghbali (part of them in collaboration with Najnudel, some others with Cheridito and Platen). On the other hand, stochastic calculus has been extended to signed measures by Ruiz de Chavez cite{chav} and Beghdadi-Sakrani cite{sak}. In cite{f}, the authors of the present paper have extended the notion of submartingales of class $(Sigma)$ to the setting of Ruiz de Chavez cite{chav} and Beghdadi-Sakrani cite{sak}, giving two different classes of stochastic processes named classes $sum(H)$ and $su{m}_s(H)$ where from tools of the theory of stochastic calculus for signed measures, the authors provide general frameworks and methods for dealing with processes of these classes. In this work, we first give some formulas of multiplicative decomposition for processes of these classes. Afterward, we shall establish some representation results allowing to recover any process of one of these classes from its final value and the last time it visited the origin.

Recommendations

• Some contributions to the study of stochastic processes of the classes \(\Sigma (H)\) and \((\Sigma)\)
• New classes of processes in stochastic calculus for signed measures
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Cites work

• scientific article; zbMATH DE number 3854115 (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 class of remarkable submartingales
• A new construction of the \(\sigma \)-finite measures associated with submartingales of class \((\Sigma )\)
• 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 some properties of universal sigma-finite measures associated with a remarkable class of submartingales
• Processes of class Sigma, last passage times, and drawdowns

Cited in

(5)

• Characterization of submartingales of a new class \((\Sigma^r)\)
• Some contributions to the study of stochastic processes of the classes \(\Sigma (H)\) and \((\Sigma)\)
• Resolution of the skew Brownian motion equations with stochastic calculus for signed measures
• Representation of martingales under signed measures and the study of the classes \(\sum_s\) and \(\sum'_s\)
• Characterisation of honest times and optional semimartingales of class-\((\Sigma)\)

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