Browse by: Author name - Classification - Keywords - Nature

5 matches found
IX: 19, 408-419, LNM 465 (1975)
STRICKER, Christophe
Mesure de Föllmer en théorie des quasimartingales (Martingale theory)
The Föllmer measure associated with a positive supermartingale, or more generally a quasimartingale (Föllmer, Z. für W-theorie, 21, 1972; Ann. Prob. 1, 1973) is constructed using a weak limit procedure instead of a projective limit
Comment: On Föllmer measures see 611. This paper corresponds to an early stage in the theory of quasimartingales, for which the main reference was Orey, Proc. Fifth Berkeley Symp., 2
Keywords: Quasimartingales, Föllmer measures
Nature: Original
Retrieve article from Numdam
IX: 20, 420-424, LNM 465 (1975)
STRICKER, Christophe
Une caractérisation des quasimartingales (Martingale theory)
An integral criterion is shown to be equivalent to the usual definition of a quasimartingale using the stochastic variation
Keywords: Quasimartingales
Nature: Original
Retrieve article from Numdam
XIII: 17, 216-226, LNM 721 (1979)
LETTA, Giorgio
Quasimartingales et formes linéaires associées (General theory of processes, Martingale theory)
This paper gives a definition of a quasimartingale $X$ different from the usual one using the stochastic variation: the linear functional $E[\int_0^{\infty} H_s dX_s]$ should be relatively bounded on the vector lattice (Riesz space) of elementary previsible processes. Many classical theorems have simple proofs or elegant interpretations in this language
Keywords: Quasimartingales, Riesz spaces
Nature: 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 1351
Keywords: Balayage, Quasimartingales
Nature: Original
Retrieve article from Numdam
XV: 32, 493-498, LNM 850 (1981)
STRICKER, Christophe
Quasi-martingales et variations (Martingale theory)
This paper contains remarks on quasimartingales, the most useful of which being perhaps the fact that, for a right-continuous process, the stochastic variation is the same with respect to the filtrations $({\cal F}_{t})$ and $({\cal F}_{t-})$
Keywords: Quasimartingales
Nature: Original
Retrieve article from Numdam