On the characterisation of honest times that avoid all stopping times

DOI10.1016/J.SPA.2013.07.012zbMATH Open1300.60044arXiv1202.2882OpenAlexW2076201146WikidataQ109042177 ScholiaQ109042177MaRDI QIDQ2434485FDOQ2434485

Authors: Constantinos Kardaras 

Publication date: 6 February 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: We present a short and self-contained proof of the following result: a random time is an honest time that avoids all stopping times if and only if it coincides with the (last) time of maximum of a nonnegative local martingale with zero terminal value and no jumps while at its running supremum, where the latter running supremum process is continuous. Illustrative examples involving local martingales with discontinuous paths are provided.

Full work available at URL: https://arxiv.org/abs/1202.2882

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zbMATH Keywords

running supremumhonest timestimes of maximumnon-negative local martingales

Mathematics Subject Classification ID

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

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Cited In (9)

• Characterisation of honest times and optional semimartingales of class-\((\Sigma)\)
• On Existence of Local Martingale Measures for Insiders who Can Stop at Honest Times
• On arbitrages arising with honest times
• Non-stopping times and stopping theorems
• Characteristics and Constructions of Default Times
• On the stochastic behaviour of optional processes up to random times
• Risk measures for processes and BSDEs
• Thin times and random times' decomposition
• Insider information and its relation with the arbitrage condition and the utility maximization problem

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