A class of remarkable submartingales
| dc.creator | Nikeghbali, Ashkan | |
| dc.date | 2005-05-24 | |
| dc.date | 2007-08-03 | |
| dc.date.accessioned | 2026-07-07T08:22:08Z | |
| dc.date.available | 2026-07-07T08:22:08Z | |
| dc.description | In this paper, we consider the special class of positive local submartingales (X_{t}) of the form: X_{t}=N_{t}+A_{t}, where the measure (dA_{t}) is carried by the set {t: X_{t}=0}. We show that many examples of stochastic processes studied in the literature are in this class and propose a unified approach based on martingale techniques to study them. In particular, we establish some martingale characterizations for these processes and compute explicitly some distributions involving the pair (X_{t},A_{t}). We also associate with X a solution to the Skorokhod's stopping problem for probability measures on the positive half-line. | |
| dc.description | Typos corrected. Close to the published version | |
| dc.identifier | https://arxiv.org/abs/math/0505515 | |
| dc.identifier | http://arxiv.org/abs/math/0505515 | |
| dc.identifier | Stochastic Processes and their applications; 116 - p.917-938 (2006) | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/135553 | |
| dc.subject | Probability | |
| dc.subject | 05C38, 15A15, 15A18 | |
| dc.title | A class of remarkable submartingales | |
| dc.type | text |