Enlargements of filtrations and path decompositions at non stopping times

DOI10.1007/s00440-005-0493-9zbMath1108.60036arXivmath/0505623OpenAlexW1978466391MaRDI QIDQ2431746

Ashkan Nikeghbali

Publication date: 24 October 2006

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0505623

zbMATH Keywords

initial enlargements of filtrationsgeneral theory of stochastic processespseudo-stopping timesAzéma's supermartingaleprogressive enlargements of filtrations

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) General theory of stochastic processes (60G07)

Related Items (7)

A reading guide for last passage times with financial applications in view ⋮ Multiplicative decompositions and frequency of vanishing of nonnegative submartingales ⋮ Insiders and Their Free Lunches: The Role of Short Positions ⋮ Minimal subharmonic functions and related integral representations ⋮ ABSOLUTELY CONTINUOUS COMPENSATORS ⋮ Progressive enlargements of filtrations with pseudo-honest times ⋮ PROGRESSIVE FILTRATION EXPANSIONS VIA A PROCESS, WITH APPLICATIONS TO INSIDER TRADING

Cites Work

• Quelques applications de la théorie générale des processus. I
• Grossissements de filtrations: exemples et applications. Séminaire de Calcul Stochastique 1982/83, Université Paris VI
• Random times and enlargements of filtrations in a Brownian setting.
• A class of remarkable submartingales
• Semi-martingales et grossissement d'une filtration
• A path decomposition for Markov processes
• How badly are the Burkholder-Davis-Gundy inequalities affected by arbitrary random times?
• Doob's maximal identity, multiplicative decompositions and enlargements of filtrations
• A definition and some characteristic properties of pseudo-stopping times
• On Models of Default Risk
• A ‘NON-STOPPING’ TIME WITH THE OPTIONAL-STOPPING PROPERTY
• Study of a filtration expanded to include an honest time
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