On some universal σ-finite measures related to a remarkable class of submartingales
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DOI: 10.1016/j.spa.2012.01.010
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References listed on IDEAS
- Nikeghbali, Ashkan, 2006. "A class of remarkable submartingales," Stochastic Processes and their Applications, Elsevier, vol. 116(6), pages 917-938, June.
- Laurent Carraro & Nicole El Karoui & Jan Ob{l}'oj, 2009. "On Az\'ema-Yor processes, their optimal properties and the Bachelier-drawdown equation," Papers 0902.1328, arXiv.org, revised Sep 2012.
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Keywords
Martingale; Submartingale of class (Σ); σ-finite measure; Last hitting time; Doob’s optional stopping theorem;All these keywords.
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