Enlargements of filtrations and path decompositions at non stopping times

DOI10.1007/s00440-005-0493-9zbMath1108.60036arXivmath/0505623MaRDI 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 filtrations; general theory of stochastic processes; pseudo-stopping times; Azéma's supermartingale; progressive enlargements of filtrations

Mathematics Subject Classification ID

60G44: Martingales with continuous parameter

60G07: General theory of stochastic processes

Related Items

Multiplicative decompositions and frequency of vanishing of nonnegative submartingales

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Quelques applications de la théorie générale des processus. I
• Grossissements de filtrations: exemples et applications. Séminaire de Calcul Stochastique 1982/83, Université Paris VI
• Random times and enlargements of filtrations in a Brownian setting.
• A class of remarkable submartingales
• Semi-martingales et grossissement d'une filtration
• A path decomposition for Markov processes
• How badly are the Burkholder-Davis-Gundy inequalities affected by arbitrary random times?
• Doob's maximal identity, multiplicative decompositions and enlargements of filtrations
• A definition and some characteristic properties of pseudo-stopping times
• On Models of Default Risk
• A ‘NON-STOPPING’ TIME WITH THE OPTIONAL-STOPPING PROPERTY
• Study of a filtration expanded to include an honest time