scientific article; zbMATH DE number 3638887

MaRDI QIDQ4197826zbMATH OpenFDO

Authors Marc Yor

Publication date 1978

Full work available at URL http://www.numdam.org/item?id=SPS_1978__12__61_0, https://eudml.org/doc/113183

zbMATH Keywords

martingaleoptional setsemimartingalestopping time

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Generalizations of martingales (60G48)

Cited in

(22)

• Progressive enlargement of filtrations with initial times
• BSDEs of counterparty risk
• Structure condition under initial enlargement of filtration
• No-arbitrage up to random horizon for quasi-left-continuous models
• Integral representations of martingales for progressive enlargements of filtrations
• Enlargements of filtrations and path decompositions at non stopping times
• On the characterisation of honest times that avoid all stopping times
• Partial functional quantization and generalized bridges
• Intensity process and compensator: A new filtration expansion approach and the Jeulin-Yor theorem
• Progressive enlargements of filtrations with pseudo-honest times
• Nouveaux résultats sur le grossissement des tribus
• Study of a filtration expanded to include an honest time
• Comportement des semi-martingales dans un grossissement de filtration
• Random times and multiplicative systems
• From the decompositions of a stopping time to risk premium decompositions
• Enlargements of filtrations: initial and progressive enlargements
• Martingale representation property in progressively enlarged filtrations
• Structure Conditions under Progressively Added Information
• The calculus of boundary processes
• Optimal bubble riding: a mean field game with varying entry times
• The identification of diffusions from imperfect observations
• Non-stopping times and stopping theorems

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