Navigation auf zora.uzh.ch
Nikeghbali, A; Yor, M (2005). A definition and some characteristic properties of pseudo-stopping times. The Annals of Probability, 33(5):1804-1824.
Recently, Williams [Bull. London Math. Soc. 34 (2002) 610–612] gave an explicit example of a random time ρ associated with Brownian motion such that ρ is not a stopping time but E(Mρ)=E(M0) for every bounded martingale M. The aim of this paper is to characterize such random times, which we call pseudo-stopping times, and to construct further examples, using techniques of progressive enlargements of filtration
| Item Type: | Journal Article, refereed, original work |
|---|---|
| Communities & Collections: | 07 Faculty of Science > Institute of Mathematics |
| Dewey Decimal Classification: | 510 Mathematics |
| Scopus Subject Areas: | Physical Sciences > Statistics and Probability
Social Sciences & Humanities > Statistics, Probability and Uncertainty |
| Uncontrolled Keywords: | Random times, progressive enlargement of filtrations, optional stopping theorem, martingales, general theory of processes |
| Language: | English |
| Date: | 2005 |
| Deposited On: | 29 Nov 2010 16:26 |
| Last Modified: | 03 Sep 2024 01:37 |
| Publisher: | Institute of Mathematical Statistics |
| ISSN: | 0091-1798 |
| OA Status: | Hybrid |
| Publisher DOI: | https://doi.org/10.1214/009117905000000297 |
| Related URLs: | http://www.zentralblatt-math.org/zbmath/search/?q=an%3A1083.60035 http://www.ams.org/mathscinet-getitem?mr=2165580 |
Nikeghbali, A