A new construction of the -finite measures associated with submartingales of class ( )

DOI10.1016/J.CRMA.2010.01.021MaRDI QIDQ961008zbMATH OpenOpenAlexFDO

Authors Joseph Najnudel, A. Nikeghbali

Publication date 29 March 2010

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0912.4768

zbMATH Keywords

mathematical financeBrownian penalisationconstruction of the \(\sigma\)-finite measuresdiscrete-time submartingales

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44)

Abstract: In a previous paper, we proved that for any submartingale $(X_t{)}_{tgeq0}$ of class $(Sigma)$, defined on a filtered probability space $(Omega,mathcalF,mathbbP,(mathcal{F}_t{)}_{tgeq0})$, which satisfies some technical conditions, one can construct a $sigma$-finite measure $mathcalQ$ on $(Omega,mathcalF)$, such that for all $tgeq0$, and for all events $Lambd{a}_{t}inmathcal{F}_t$: ${\displaystyle }$ mathcal{Q} [Lambda_t, gleq t] = mathbb{E}_{mathbb{P}} [mathds{1}_{Lambda_t} X_t]${\displaystyle }$ where $g$ is the last hitting time of zero of the process $X$. Some particular cases of this construction are related with Brownian penalisation or mathematical finance. In this note, we give a simpler construction of $mathcalQ$, and we show that an analog of this measure can also be defined for discrete-time submartingales.

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Cites work

• scientific article; zbMATH DE number 3245885 (Why is no real title available?)
• A class of remarkable submartingales
• A global view of Brownian penalisations
• Les inegalites de sous-martingales, comme consequences de la relation de domination
• Multidimensional diffusion processes.
• Option prices as probabilities. A new look at generalized Black-Scholes formulae
• Stochastic Integration with Jumps

Cited in

(9)

• Operator level limit of the circular Jacobi \(\beta \)-ensemble
• On σ-Finite Measures Related to the Martin Boundary of Recurrent Markov Chains
• Random permutation matrices under the generalized Ewens measure
• Random times with given survival probability and their \(\mathbb F\)-martingale decomposition formula
• An ideal class to construct solutions for skew Brownian motion equations
• Some contributions to the study of stochastic processes of the classes \(\Sigma (H)\) and \((\Sigma)\)
• On averages of randomized class functions on the symmetric groups and their asymptotics
• On some properties of universal sigma-finite measures associated with a remarkable class of submartingales
• On the study of processes of \(\sum (H)\) and \(\sum_{\mathrm{s}}(H)\) classes

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