Some contributions to the study of stochastic processes of the classes and
This paper consists of two independent parts. In the first one, we contribute to the study of the class . For instance, we provide a new way to characterize stochastic processes of this class. We also present some new properties and solve the Bachelier equation. In the second part, we study the clas...
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Published in | Stochastics (Abingdon, Eng. : 2005) Vol. 89; no. 8; pp. 1253 - 1269 |
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Main Authors | , , , |
Format | Journal Article |
Language | English |
Published |
Abingdon
Taylor & Francis
17.11.2017
Taylor & Francis Ltd |
Subjects | |
Online Access | Get full text |
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Summary: | This paper consists of two independent parts. In the first one, we contribute to the study of the class
. For instance, we provide a new way to characterize stochastic processes of this class. We also present some new properties and solve the Bachelier equation. In the second part, we study the class of stochastic processes
. This class was introduced in the framework of the theory of martingales with respect to a signed measure, where methods for dealing with processes of this class were provided. In this work, after developing some new properties, we embed a non-atomic measure
in X, a process of the class
. More precisely, we find a stopping time
such that the law of
is
. |
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ISSN: | 1744-2508 1744-2516 |
DOI: | 10.1080/17442508.2017.1307984 |