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

Joseph Najnudel; Ashkan Nikeghbali

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arXiv · 0912.1693

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

Joseph Najnudel·Ashkan Nikeghbali

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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.

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Joseph Najnudel, Ashkan Nikeghbali. 2009-12-09. A remarkable $σ$-finite measure associated with last passage times and penalisation problems. https://arxiv.org/abs/0912.1693

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