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

DOI10.1007/S10959-015-0640-XzbMATH Open1378.60069arXiv1407.3728OpenAlexW2177770366MaRDI QIDQ521963FDOQ521963

Octave Moutsinga, Youssef Ouknine, Fulgence Eyi-Obiang

Publication date: 12 April 2017

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

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.

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)

Cites Work

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• Processes of Class Sigma, Last Passage Times, and Drawdowns
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Cited In (3)

• Characterisation of honest times and optional semimartingales of class-\((\Sigma)\)
• Resolution of the skew Brownian motion equations with stochastic calculus for signed measures
• Some contributions to the study of stochastic processes of the classes and

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