A remarkable $\sigma$-finite measure associated with last passage times and penalisation problems
Probability
2009-12-10 v1
Abstract
In this paper, we give a global view of the results we have obtained in relation with a remarkable class of submartingales, called , and its links with a universal sigma-finite measure and penalization problems on the space of continuous and cadlag paths.
Cite
@article{arxiv.0912.1693,
title = {A remarkable $\sigma$-finite measure associated with last passage times and penalisation problems},
author = {Joseph Najnudel and Ashkan Nikeghbali},
journal= {arXiv preprint arXiv:0912.1693},
year = {2009}
}
Comments
This is a contribution for the special volume for the 60th birthday of Eckhard Platen