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

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