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

DOI10.1016/J.CRMA.2010.01.021zbMATH Open1188.60021arXiv0912.4768OpenAlexW2952153701MaRDI QIDQ961008FDOQ961008

Authors: Joseph Najnudel, A. Nikeghbali 

Publication date: 29 March 2010

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

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.

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

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zbMATH Keywords

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

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44)

Cites Work

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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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