A new construction of the $\sigma$-finite measures associated with submartingales of class $(\Sigma)$

Abstract

In a previous paper, we proved that for any submartingale $(X_t)_{t \geq 0}$ of class $(\Sigma)$, defined on a filtered probability space $(\Omega, \mathcal{F}, \mathbb{P}, (\mathcal{F}_t)_{t \geq 0})$, which satisfies some technical conditions, one can construct 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 of the process $X$. Some particular cases of this construction are related with Brownian penalisation or mathematical finance. In this note, we give a simpler construction of $\mathcal{Q}$, and we show that an analog of this measure can also be defined for discrete-time submartingales.