کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1156729 | 958862 | 2012 | 25 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Random times and multiplicative systems
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
The present research is motivated by the recent results of Jeanblanc and Song (2011) [10] and [11]. Our aim is to demonstrate, with the help of multiplicative systems introduced in Meyer (1979) [21], that for any given positive FF-submartingale FF such that F∞=1F∞=1, there exists a random time ττ on some extension of the filtered probability space such that the Azéma submartingale associated with ττ coincides with FF. Pertinent properties of this construction are studied and it is subsequently extended to the case of several correlated random times with the predetermined univariate conditional distributions.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 122, Issue 5, May 2012, Pages 2053–2077
Journal: Stochastic Processes and their Applications - Volume 122, Issue 5, May 2012, Pages 2053–2077
نویسندگان
Libo Li, Marek Rutkowski,