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...

Full description

Saved in:
Bibliographic Details
Published inStochastics (Abingdon, Eng. : 2005) Vol. 89; no. 8; pp. 1253 - 1269
Main Authors Eyi-Obiang, Fulgence, Ouknine, Youssef, Moutsinga, Octave, Trutnau, Gerald
Format Journal Article
LanguageEnglish
Published Abingdon Taylor & Francis 17.11.2017
Taylor & Francis Ltd
Subjects
Bachelier equation
class
Hardy-Littlewood function
martingale with respect to a signed measure
Martingales
Measurement methods
relative martingales
Skorokhod embedding problem
Stochastic models
Stochastic processes
Online AccessGet full text

Cover

More Information
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 .
ISSN:1744-2508
1744-2516
DOI:10.1080/17442508.2017.1307984