A new construction of the \(\sigma \)-finite measures associated with submartingales of class \((\Sigma )\)

DOI10.1016/j.crma.2010.01.021zbMath1188.60021arXiv0912.4768OpenAlexW2952153701MaRDI QIDQ961008

Joseph Najnudel, Ashkan Nikeghbali

Publication date: 29 March 2010

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0912.4768

zbMATH Keywords

mathematical financeBrownian penalisationconstruction of the \(\sigma\)-finite measuresdiscrete-time submartingales

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44)

Related Items (9)

Operator level limit of the circular Jacobi β-ensemble ⋮ 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 ⋮ Random permutation matrices under the generalized Ewens measure ⋮ On averages of randomized class functions on the symmetric groups and their asymptotics ⋮ On the study of processes of \(\sum (H)\) and \(\sum_{\mathrm{s}}(H)\) classes ⋮ Random times with given survival probability and their \(\mathbb F\)-martingale decomposition formula ⋮ On σ-Finite Measures Related to the Martin Boundary of Recurrent Markov Chains

Cites Work

• A class of remarkable submartingales
• A global view of Brownian penalisations
• Multidimensional diffusion processes.
• Option prices as probabilities. A new look at generalized Black-Scholes formulae
• Les inegalites de sous-martingales, comme consequences de la relation de domination
• Stochastic Integration with Jumps
• Unnamed Item

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