V: 30, 311-341, LNM 191 (1971)
WATANABE, Takesi
On balayées of excessive measures and functions with respect to resolvents (
Potential theory)
A general study of balayage of excessive measures as dual to réduite of excessive functions, first for a single kernel, then for a resolvent on a measurable space, and finally for a standard process
Comment: See Kunita and T. Watanabe,
Ill. J. Math.,
9, 1965. For the modern theory of balayage of measures (using Kuznetsov's processes) see Getoor,
Excessive Measures, 1990, Chapter 4
Keywords: Excessive measures,
BalayageNature: Original
Retrieve article from Numdam
VI: 12, 130-150, LNM 258 (1972)
MEYER, Paul-André
Le schéma de remplissage en temps continu, d'après H. Rost (
Ergodic theory,
Potential theory)
The work of H. Rost on the so-called discrete filling scheme was presented to the Seminar as
523. Here following Rost himself (
Invent. Math., 14, 1971) the construction is extended to continuous time Markov processes. In the transient case, the results are translated in potential-theoretic language, and proved using techniques due to Mokobodzki. Then the general case follows from this result applied to a space-time extension of the semi-group
Comment: A general survey on the Skorohod embedding problem is Ob\lój,
Probab. Surv. 1, 2004
Keywords: Filling scheme,
Balayage of measures,
Skorohod imbeddingNature: Exposition,
Original additions Retrieve article from Numdam
VII: 16, 155-171, LNM 321 (1973)
MEYER, Paul-André;
TRAKI, Mohammed
Réduites et jeux de hasard (
Potential theory)
This paper arose from an attempt (by the second author) to rewrite the results of Dubins-Savage
How to Gamble if you Must in the language of standard (countably additive) measure theory, using the methods of descriptive set theory (analytic sets, section theorems, etc). The attempt is successful, since all general theorems can be proved in this set-up. More recent results in the same line, due to Strauch and Sudderth, are extended too. An appendix includes useful comments by Mokobodzki on the case of a gambling house consisting of a single kernel (discrete potential theory)
Comment: This material is reworked in Dellacherie-Meyer,
Probabilités et Potentiel, Vol. C, Chapter X
Keywords: Balayage,
Gambling house,
Réduite,
Optimal strategyNature: Original Retrieve article from Numdam
XIII: 38, 443-452, LNM 721 (1979)
EL KAROUI, Nicole
Temps local et balayage des semimartingales (
General theory of processes)
This paper is the first one in a series of reports on the balayage of semimartingales, and the following description is common to all of them. \par Let $H$ be a right-closed optional set, and let $g_t=\sup\{s<t, s\in H\}$ and $D_t=\inf\{s>t,s\in H\}$. Put $L=g_{\infty}$. Let also $G$ be the set of all left-endpoints of intervals contiguous to $H$, i.e., of all points $g_t$ for $t\notin H$. For simplicity we assume here that $D_0=0$ and that $H=\{X=0\}$, where $X$ is a semimartingale with decomposition $X=M+V$, though for a few results (including the balayage formula itself) it is sufficient that $X=0$ on $H$. \par One of the starting points of this paper is the
balayage formula (see Azéma-Yor, introduction to
Temps Locaux ,
Astérisque ,
52-53): if $Z$ is a locally bounded previsible process, then $$Z_{g_t}X_t=\int_0^t Z_{g_s}dX_s$$ and therefore $Y_t=Z_{g_t}X_t$ is a semimartingale. The main problem of the series of reports is: what can be said if $Z$ is not previsible, but optional, or even progressive?\par This particular paper is devoted to the study of the non-adapted process $$K_t=\sum_{g\in G,g\le t } (M_{D_g}-M_g)$$ which turns out to have finite variation
Comment: This paper is completed by
1357Keywords: Local times,
Balayage,
Balayage formulaNature: Original Retrieve article from Numdam
XIII: 39, 453-471, LNM 721 (1979)
YOR, Marc
Sur le balayage des semi-martingales continues (
General theory of processes)
For the general notation, see
1338. This paper is independent from the preceding one
1338, and some overlap occurs. The balayage formula is extended to processes $Z$ which are not locally bounded, and the local time of the semimartingale $Y$ is computed. The class of continuous semimartingales $X$ with canonical decomposition $X=M+V$ such that $dV$ is carried by $H=\{X=0\}$ is introduced and studied. It turns out to be an important class, closely related to ``relative martingales'' (Azéma, Meyer and Yor
2623). A number of results are given, too technical to be stated here. Stopping previsible, optional and progressive processes at the last exit time $L$ from $H$ leads to three $\sigma$-fields, ${\cal F}_L^p$, ${\cal F}_L^o$, ${\cal F}_L^{\pi}$, and it was considered surprising that the last two could be different (see
1240). Here it is shown that if $X$ is a continuous uniformly integrable martingale with $X_0=0$, $E[X_{\infty}|{\cal F}_L^o]=0\neq E[X_{\infty}|{\cal F}_L^{\pi}]$
Comment: See
1357Keywords: Local times,
Balayage,
Balayage formulaNature: Original Retrieve article from Numdam
XIII: 40, 472-477, LNM 721 (1979)
STRICKER, Christophe
Semimartingales et valeur absolue (
General theory of processes)
For the general notation, see
1338. A result of Yoeurp that absolute values preserves quasimartingales is extended: convex functions satisfying a Lipschitz condition operate on quasimartingales. For $p\ge1$, $X\in H^p$ implies $|X|^p\in H^1$. Then it is shown that for a continuous adapted process $X$, it is equivalent to say that $X$ and $|X|$ are quasimartingales (or semimartingales). Then comes a result related to the main problem of this series: with the general notations above, if $X$ is assumed to be a quasimartingale such that $X_{D_t}=0$ for all $t$, if the process $Z$ is progressive and bounded, then the process $Z_{g_t}X_t$ is a quasimartingale
Comment: A complement is given in the next paper
1341. See also
1351Keywords: Balayage,
QuasimartingalesNature: Original Retrieve article from Numdam
XIII: 41, 478-487, LNM 721 (1979)
MEYER, Paul-André;
STRICKER, Christophe;
YOR, Marc
Sur une formule de la théorie du balayage (
General theory of processes)
For the notation, see the review of
1340. It is shown here that under the same hypotheses, the semimartingale $Z_{g_t}X_t$ is a sum of three terms: the stochastic integral $\int_0^t \zeta_s dX_s$, where $\zeta$ is the previsible projection of $Z$, an explicit sum of jumps involving $Z-\zeta$, and a mysterious continuous process with finite variation $(R_t)$ such that $dR_t$ is carried by $H$, equal to $0$ if $Z$ was optional
Comment: See
1351,
1357Keywords: Balayage,
Balayage formulaNature: Original Retrieve article from Numdam
XIII: 51, 610-610, LNM 721 (1979)
STRICKER, Christophe
Encore une remarque sur la ``formule de balayage'' (
General theory of processes)
A slight extension of
1341Keywords: BalayageNature: Original Retrieve article from Numdam
XIII: 55, 624-624, LNM 721 (1979)
YOR, Marc
Un exemple de J. Pitman (
General theory of processes)
The balayage formula allows the construction of many martingales vanishing on the zeros of a given continuous martingale $X$, namely martingales of the form $Z_{g_t}X_t$ where $Z$ is previsible. Taking $X$ to be Brownian motion, an example is given of a martingale vanishing on its zeros which is not of the above form
Comment: The general problem of finding all martingales which vanish on the zeros of a given continuous martingale is discussed by Azéma and Yor in
2622Keywords: Balayage,
Balayage formulaNature: Exposition Retrieve article from Numdam
XIII: 57, 634-641, LNM 721 (1979)
EL KAROUI, Nicole
A propos de la formule d'Azéma-Yor (
General theory of processes)
For the problem and notation, see the review of
1340. The problem is completely solved here, the process $Z_{g_t}X_t$ being represented as the sum of $\int_0^t Z_{g_s}dX_s$ interpreted in a generalized sense ($Z$ being progressive!) and a remainder which can be explicitly written (using optional dual projections of non-adapted processes)
Comment: This paper ends happily the whole series of papers on balayage in this volume
Keywords: Balayage,
Balayage formulaNature: Original Retrieve article from Numdam
