15 citations · 26 across the 12 of their papers we have counts for
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math.PR2009
Processes of class Sigma, last passage times and drawdowns
Patrick Cheridito, Ashkan Nikeghbali, Eckhard Platen
We propose a general framework to study last passage times, suprema and drawdowns of a large class of stochastic processes. A central role in our approach is played by processes of…
math.PR2009★ 1 cited
On some universal sigma finite measures and some extensions of Doob's optional stopping theorem
Joseph Najnudel, Ashkan Nikeghbali
In this paper, we associate, to any submartingale of class , defined on a filtered probability space , which satisfie…