Characterization of submartingales of a new class (Σr)

DOI10.1080/07362994.2018.1429932zbMath1390.60123OpenAlexW2793862484MaRDI QIDQ4639184

Khadija Akdim, M'hamed Eddahbi, Mouna Haddadi

Publication date: 3 May 2018

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

Full work available at URL: https://doi.org/10.1080/07362994.2018.1429932

zbMATH Keywords

submartingalesbalayage formulapredictable compensatorrelative martingaleslast-passage times

Mathematics Subject Classification ID

General theory of stochastic processes (60G07) Stochastic integrals (60H05) Martingales and classical analysis (60G46)

Cites Work

• A direct proof of the Bichteler-Dellacherie theorem and connections to arbitrage
• Pitman type theorem for one-dimensional diffusion processes
• A class of remarkable submartingales
• Les inegalites de sous-martingales, comme consequences de la relation de domination
• Semimartingale Models of Stochastic Optimal Control, with Applications to Double Martingales
• Processes of Class Sigma, Last Passage Times, and Drawdowns
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