From Doob's maximal identity to Azema supermartingale (1602.04480v2)

Published 14 Feb 2016 in math.PR

Abstract: We characterize the random times $\rho$ whose Azema supermartingales $Z^\rho$ take the form $Z^{\rho=U/U^*$} for some non negative local martingales $U$ starting from 1 vanishing at infinity, where $U^*$ denotes the running maximum process of $U$.

Summary

We haven't generated a summary for this paper yet.

Whiteboard

Generate a whiteboard explanation of this paper.

Sign Up to Generate

Paper to Video (Beta)

Generate a video overview of this paper.

Sign Up to Generate

Paper Prompts

Sign up for free to create and run prompts on this paper using GPT-5.

Top Community Prompts

Explain it Like I'm 14

Practical Applications

Conceptual Simplification

Sign Up to Activate View All Prompts

Open Problems

We haven't generated a list of open problems mentioned in this paper yet.

Continue Learning

We haven't generated follow-up questions for this paper yet.

Authors (1)

Shiqi Song

Collections

Sign up for free to add this paper to one or more collections.