Random times and multiplicative systems
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Publication:424521
DOI10.1016/j.spa.2012.02.011zbMath1277.60077OpenAlexW2092419988MaRDI QIDQ424521
Publication date: 1 June 2012
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2012.02.011
Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)
Related Items (4)
Integral representations of martingales for progressive enlargements of filtrations ⋮ Characteristics and Constructions of Default Times ⋮ DYNAMIC DEFAULTABLE TERM STRUCTURE MODELING BEYOND THE INTENSITY PARADIGM ⋮ Progressive enlargements of filtrations with pseudo-honest times
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- Doob's maximal identity, multiplicative decompositions and enlargements of filtrations
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- Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives
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- [https://portal.mardi4nfdi.de/wiki/Publication:4171356 Repr�sentation multiplicative d'une surmartingale born�e]
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