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

Joseph Najnudel; Ashkan Nikeghbali

paper

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

arXiv:0912.1693

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.

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

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

Abstract

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