On the stochastic behaviour of optional processes up to random times
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Publication:2341620
DOI10.1214/13-AAP976zbMath1316.60057arXiv1007.1124MaRDI QIDQ2341620
Publication date: 27 April 2015
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1007.1124
Brownian motionfinancial mathematicsrandom timeslast passage timesrandomised stopping timesoptional processestimes of maximum
Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) General theory of stochastic processes (60G07) Financial applications of other theories (91G80)
Related Items (7)
Arbitrage of the first kind and filtration enlargements in semimartingale financial models ⋮ Drawdowns and the speed of market crash ⋮ Simplified calculus for semimartingales: multiplicative compensators and changes of measure ⋮ Characteristics and Constructions of Default Times ⋮ On an Optional Semimartingale Decomposition and the Existence of a Deflator in an Enlarged Filtration ⋮ Supermartingales as Radon-Nikodym densities and related measure extensions ⋮ Characterisation of honest times and optional semimartingales of class-\((\Sigma)\)
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