On some properties of a universal sigma-finite measure associated with a remarkable class of submartingales

Abstract

In a previous work, we associated with any submartingale $X$ of class $(\Sigma)$, defined on a filtered probability space $(\Omega, \mathcal{F}, \mathbb{P}, (\mathcal{F}_t)_{t \geq 0})$ satisfying some technical conditions, a $\sigma$-finite measure $\mathcal{Q}$ on $(\Omega, \mathcal{F})$, such that for all $t \geq 0$, and for all events $\Lambda_t \in \mathcal{F}_t$: $$ \mathcal{Q} [\Lambda_t, g\leq t] = \mathbb{E}_{\mathbb{P}} [\mathds{1}_{\Lambda_t} X_t],$$ where $g$ is the last hitting time of zero by the process $X$. The measure $\mathcal{Q}$, which was previously studied in particular cases related with Brownian penalisations and problems in mathematical finance, enjoys some remarkable properties which are detailed in this paper. Most of these properties are related to a certain class of nonnegative martingales, defined as the local densities (with respect to $\mathbb{P}$) of the finite measures which are absolutely continuous with respect to $\mathcal{Q}$. From the properties of the measure $\mathcal{Q}$, we also deduce a universal class of penalisation results of the probability measure $\mathbb{P}$ with a large class of functionals: the measure $\mathcal{Q}$ appears to be the unifying object in these problems.