Repr�sentation multiplicative d'une surmartingale born�e

DOI10.1007/BF00535302zbMath0389.60033OpenAlexW2886623483MaRDI QIDQ4171356

Jacques Azema

Publication date: 1978

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00535302

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Local time and additive functionals (60J55)

Related Items (7)

Structural properties of randomized times ⋮ Explicit description of all deflators for market models under random horizon with applications to NFLVR ⋮ Simplified calculus for semimartingales: multiplicative compensators and changes of measure ⋮ Random times and multiplicative systems ⋮ On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation ⋮ Change of measure up to a random time: details ⋮ Characterisation of honest times and optional semimartingales of class-\((\Sigma)\)

Cites Work

• Seminaire de probabilités VIII. Universite de Strasbourg
• Théorie générale des processus et retournement du temps
• Comultiplicative functionals and the birthing of a Markov process
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