Back to Search
Start Over
Time-Changed Local Martingales Under Signed Measures.
- Source :
- Journal of Theoretical Probability; Jun2021, Vol. 34 Issue 2, p644-659, 16p
- Publication Year :
- 2021
-
Abstract
- In this paper, we use stochastic integration in the framework of signed measures, together with the technique of time changes. Let Q be a bounded non-null signed measure on (Ω , F , P) , such that Q and P are equivalent. In the first part of the paper, we generalize the results of stochastic calculus in Beghdadi-Sakrani (Séminaire de probabilités XXXVI, Springer, 2003) to Q-local martingales and we give some examples. In the second part, we prove that the class of Q-semimartingales is invariant under time changes. We establish the famous formulas of time-changed local martingales as well as the representation of a Q-local martingale as a time-changed Brownian motion. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 08949840
- Volume :
- 34
- Issue :
- 2
- Database :
- Complementary Index
- Journal :
- Journal of Theoretical Probability
- Publication Type :
- Academic Journal
- Accession number :
- 150318875
- Full Text :
- https://doi.org/10.1007/s10959-020-00994-2