Characterisation of honest times and optional semimartingales of class-\((\Sigma)\)
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Publication:2099991
DOI10.1007/s10959-021-01154-wMaRDI QIDQ2099991
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
multiplicative decomposition; additive decomposition; drawdown; honest times; optional semimartingales; Azéma's supermartingale; Làglàd processes; relative drawdown; semimartingales of class-sigma