Characterisation of honest times and optional semimartingales of class-\((\Sigma)\)

DOI10.1007/s10959-021-01154-wOpenAlexW2936328600MaRDI QIDQ2099991

Li-Bo Li

Publication date: 21 November 2022

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1801.03873

zbMATH Keywords

multiplicative decompositionadditive decompositiondrawdownhonest timesoptional semimartingalesAzéma's supermartingaleLàglàd processesrelative drawdownsemimartingales of class-sigma

Mathematics Subject Classification ID

General theory of stochastic processes (60G07) Credit risk (91G40)

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