The Joint Law of Terminal Values of a Nonnegative Submartingale and Its Compensator
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Publication:5242512
DOI10.1137/S0040585X97T988575zbMath1434.60125OpenAlexW2804094485MaRDI QIDQ5242512
Publication date: 12 November 2019
Published in: Theory of Probability & Its Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0040585x97t988575
Doob-Meyer decompositionincreasing processcomonotonicitycompensatortime-changenonnegative submartingale
Inequalities; stochastic orderings (60E15) Extreme value theory; extremal stochastic processes (60G70) Generalizations of martingales (60G48) Martingales with continuous parameter (60G44)
Related Items (4)
On the denseness of the subset of discrete distributions in a certain set of two-dimensional distributions ⋮ Single jump filtrations and local martingales ⋮ The Joint Law of a Max-Continuous Local Submartingale and Its Maximum ⋮ On possible relations between an increasing process and its compensator in the non-integrable case
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