Random Time with Differentiable Conditional Distribution Function

DOI10.1137/S0040585X97T987909zbMath1375.60083arXiv1312.5709MaRDI QIDQ3178730

Shiqi Song

Publication date: 7 December 2016

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1312.5709

zbMATH Keywords

Azéma supermartingaleprogressive enlargement of filtrationCox measureoptional splitting formula

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stopping times; optimal stopping problems; gambling theory (60G40) General theory of stochastic processes (60G07)

Related Items (1)

Characteristics and Constructions of Default Times

Cites Work

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