Enlargements of filtrations and path decompositions at non stopping times

DOI10.1007/S00440-005-0493-9zbMATH Open1108.60036arXivmath/0505623OpenAlexW1978466391MaRDI QIDQ2431746FDOQ2431746

Authors: A. Nikeghbali 

Publication date: 24 October 2006

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Abstract: Az'{e}ma associated with an honest time L the supermartingale $Z_t^L=mathbbP[L>t|mathcal{F}_t]$ and established some of its important properties. This supermartingale plays a central role in the general theory of stochastic processes and in particular in the theory of progressive enlargements of filtrations. In this paper, we shall give an additive characterization for these supermartingales, which in turn will naturally provide many examples of enlargements of filtrations. In particular, we use this characterization to establish some path decomposition results, closely related to or reminiscent of Williams' path decomposition results.

Full work available at URL: https://arxiv.org/abs/math/0505623

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zbMATH Keywords

initial enlargements of filtrationsgeneral theory of stochastic processespseudo-stopping timesprogressive enlargements of filtrationsAzéma's supermartingale

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) General theory of stochastic processes (60G07)

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Cited In (11)

• Multiplicative decompositions and frequency of vanishing of nonnegative submartingales
• Characterisation of honest times and optional semimartingales of class-\((\Sigma)\)
• Enlargement of Filtration in Discrete Time
• Minimal subharmonic functions and related integral representations
• On the construction of conditional probability densities in the Brownian and compound Poisson filtrations
• A reading guide for last passage times with financial applications in view
• Progressive enlargements of filtrations with pseudo-honest times
• Absolutely continuous compensators
• Insiders and Their Free Lunches: The Role of Short Positions
• Thin times and random times' decomposition
• Progressive filtration expansions via a process, with applications to insider trading

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