Thin times and random times' decomposition

DOI10.1214/20-EJP569zbMath1480.60078arXiv1605.03905OpenAlexW3157456748MaRDI QIDQ2042766

Tahir Choulli, Anna Aksamit, Monique Jeanblanc-Picqué

Publication date: 21 July 2021

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1605.03905

zbMATH Keywords

immersionprogressive enlargement of filtrationhonest times(semi)martingale stabilityavoidance of stopping timedual optional projectiongraph of a random timehypothesis \((\mathcal{H}')\)thin timesthin-thick decomposition

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) General theory of stochastic processes (60G07)

Related Items (5)

An enlargement of filtration formula with applications to multiple non-ordered default times ⋮ Generalized Cox model for default times ⋮ Generalized BSDE and reflected BSDE with random time horizon ⋮ Stationary local random countable sets over the Wiener noise ⋮ Characterisation of honest times and optional semimartingales of class-\((\Sigma)\)

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