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The Joint Law of Terminal Values of a Nonnegative Submartingale and Its Compensator - MaRDI portal

The Joint Law of Terminal Values of a Nonnegative Submartingale and Its Compensator (Q5242512)

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scientific article; zbMATH DE number 7128521
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English
The Joint Law of Terminal Values of a Nonnegative Submartingale and Its Compensator
scientific article; zbMATH DE number 7128521

    Statements

    title
    The Joint Law of Terminal Values of a Nonnegative Submartingale and Its Compensator (English)
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    publication date
    12 November 2019
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    zbMATH Keywords
    increasing process
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    time-change
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    comonotonicity
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    compensator
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    nonnegative submartingale
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    Doob-Meyer decomposition
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    Identifiers

    Mathematics Subject Classification ID
    60G44
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    60G48
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    60G70
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    60E15
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    zbMATH DE Number
    7128521
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    OpenAlex ID
    W2804094485
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    Wikidata QID
    Q129812106
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