Filtration shrinkage by level-crossings of a diffusion

DOI10.1214/009117906000000683zbMath1128.60070arXiv0707.3866OpenAlexW2046089483MaRDI QIDQ2371954

A. Deniz Sezer

Publication date: 9 July 2007

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0707.3866

zbMATH Keywords

diffusionrandom setsrandom measureregenerative setsmartingale representation theoremcharacteristic measurepoint process of excursions

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Brownian motion (60J65) Diffusion processes (60J60) Random measures (60G57) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (6)

Crossings states and sets of states in random walks ⋮ Optional projection under equivalent local martingale measures ⋮ Information reduction via level crossings in a credit risk models ⋮ Intensity process and compensator: A new filtration expansion approach and the Jeulin-Yor theorem ⋮ Strict local martingales with jumps ⋮ Filtration shrinkage, strict local martingales and the Föllmer measure

Cites Work

• Exit systems
• Hitting, occupation and inverse local times of one-dimensional diffusions: Martingale and excursion approaches
• Modeling credit risk with partial information.
• Information reduction via level crossings in a credit risk models
• [https://portal.mardi4nfdi.de/wiki/Publication:4064791 Un th�or�me de repr�sentation pour les martingales discontinues]
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