A remarkable σ-finite measure associated with last passage times and penalisation problems

2009/12/09 by Joseph Najnudel, Najnudel, Joseph, Ashkan Nikeghbali +1
Mathematics · #Advanced Banach Space Theory #Approximation Theory and Sequence Spaces #FOS: Mathematics #Mathematical Analysis and Transform Methods #Probability (math.PR) #math.PR

paper · pdf · doi:10.48550/arxiv.0912.1693

This is a contribution for the special volume for the 60th birthday of Eckhard Platen

arxiv created 2009/12/09 · openalex publication_date 2009/12/09 · arxiv updated 2010/01/07 · openalex created_date 2024/04/11 · openalex updated_date 2026/07/28

Abstract

In this paper, we give a global view of the results we have obtained in relation with a remarkable class of submartingales, called (Σ), and its links with a universal sigma-finite measure and penalization problems on the space of continuous and cadlag paths.

Related

• On some properties of a universal sigma-finite measure associated with a remarkable class of submartingales
• On some universal sigma finite measures and some extensions of Doob's optional stopping theorem
• A new construction of the σ-finite measures associated with submartingales of class (Σ)
• On penalisation results related with a remarkable class of submartingales
• On universality in penalisation problems with multiplicative weights