A Remarkable σ-finite Measure Associated with Last Passage Times and Penalisation Problems

DOI10.1007/978-3-642-03479-4_5zbMath1217.91224arXiv0912.1693OpenAlexW3086134357MaRDI QIDQ3000877

Ashkan Nikeghbali, Joseph Najnudel

Publication date: 31 May 2011

Published in: Contemporary Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0912.1693

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Financial applications of other theories (91G80)

Related Items (5)

An ideal class to construct solutions for skew Brownian motion equations ⋮ Some contributions to the study of stochastic processes of the classes and ⋮ On some universal \(\sigma\)-finite measures related to a remarkable class of submartingales ⋮ On the study of processes of \(\sum (H)\) and \(\sum_{\mathrm{s}}(H)\) classes ⋮ On σ-Finite Measures Related to the Martin Boundary of Recurrent Markov Chains

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