Measure changes with extinction

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dc.creatorHarris, Simon
dc.creatorRoberts, Matthew
dc.date2008-11-11
dc.date2008-12-18
dc.date.accessioned2026-07-07T12:15:59Z
dc.date.available2026-07-07T12:15:59Z
dc.descriptionWe consider a change of measure by a martingale $Z_t$ and clarify that in general $1/Z_t$ is only a supermartingale under the changed measure. We then give a necessary and sufficient condition for the event that the limit of the martingale is zero to coincide with the event that the martingale hits zero in finite time (up to a set of zero probability).
dc.description6 pages; corrected typo, shortened proof of Theorem 6
dc.identifierhttps://arxiv.org/abs/0811.1696
dc.identifierhttp://arxiv.org/abs/0811.1696
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/211659
dc.subjectProbability
dc.subject60G99
dc.titleMeasure changes with extinction
dc.typetext

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