Random time with differentiable conditional distribution function

DOI10.1137/S0040585X97T987909MaRDI QIDQ3178730zbMATH OpenFDO

Authors Shiqi Song

Publication date 7 December 2016

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1312.5709

zbMATH Keywords

progressive enlargement of filtrationCox measureAzéma supermartingaleoptional splitting formula

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stopping times; optimal stopping problems; gambling theory (60G40) General theory of stochastic processes (60G07)

Abstract: Given a stochastic structure with a filtration $mathbbF$, the class of all random times whose conditional distribution functions are differentiable with respect to some $mathbbF$ adapted non decreasing processes is considered. The main property of a random time in this class is that it can be isomorphically implanted into an auxiliary model which is absolutely continuous with respect to a Cox model. Three formulas are established: the conditional expectation formula, the optional splitting formula, and the enlargement of filtration formula. This study is particularly useful for models which are not defined directly with Cox models, such as the dynamic one-default model developed recently.

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Cited in

(2)

• Random times and multiplicative systems
• Characteristics and constructions of default times

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