A definition and some characteristic properties of pseudo-stopping times

DOI10.1214/009117905000000297zbMath1083.60035arXivmath/0406459OpenAlexW2950428717MaRDI QIDQ2571696

Marc Yor, Ashkan Nikeghbali

Publication date: 14 November 2005

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

Full work available at URL: https://arxiv.org/abs/math/0406459

zbMATH Keywords

martingalesprogressive enlargement of filtrationsrandom timesgeneral theory of processesoptimal stopping theorem

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 (24)

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