Najnudel, Joseph; Nikeghbali, Ashkan - In: Stochastic Processes and their Applications 122 (2012) 4, pp. 1582-1600
In this paper, for any submartingale of class (Σ) defined on a filtered probability space (Ω,F,P,(Ft)t≥0) satisfying some technical conditions, we associate a σ-finite measure Q on (Ω,F), such that for all t≥0, and for all events Λt∈Ft: Q[Λt,g≤t]=EP[1ΛtXt], where g is the last...
