Enlargements of filtrations and path decompositions at non stopping times (Q2431746)
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Enlargements of filtrations and path decompositions at non stopping times (English)
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24 October 2006
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The author gives an additive characterization for the supermartingale \(Z^L_t = \mathbb{P} [L > t\, | \, \mathcal{F}_t ]\) associated by Azéma with an honest time \(L\), providing examples of enlargements of filtrations. Decompositions analogous to Williams' path decomposition result for the supermartingale are obtained. Some path decomposition results for certain classes of diffusion processes are also established.
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progressive enlargements of filtrations
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initial enlargements of filtrations
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Azéma's supermartingale
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general theory of stochastic processes
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pseudo-stopping times
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0.8188725113868713
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0.8049798011779785
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0.7886027097702026
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0.7837408185005188
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0.7778904438018799
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