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

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

2009-12-09

arxiv.org/abs/0912.1693v1

Mathematics

Probability

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

Scientific paper

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

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