On some universal \(\sigma\)-finite measures related to a remarkable class of submartingales

DOI10.1016/j.spa.2012.01.010zbMath1275.60045arXiv0911.4365OpenAlexW2017136963MaRDI QIDQ424488

Joseph Najnudel, Ashkan Nikeghbali

Publication date: 1 June 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0911.4365

zbMATH Keywords

diffusionconvergence of probability measuresmartingale\sigma \)-finite measureDoob's optional stopping theoremlast hitting timesubmartingale of class \((\Sigma )submartingales of class sigma

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Diffusion processes (60J60) General theory of stochastic processes (60G07) Foundations of stochastic processes (60G05)

Related Items (5)

A reading guide for last passage times with financial applications in view ⋮ On the time inhomogeneous skew Brownian motion ⋮ 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 σ-Finite Measures Related to the Martin Boundary of Recurrent Markov Chains

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