Projections, Pseudo-Stopping Times and the Immersion Property

DOI10.1007/978-3-319-44465-9_17zbMath1367.60041arXiv1409.0298OpenAlexW2520138078MaRDI QIDQ5270109

Anna Aksamit, Li-Bo Li

Publication date: 22 June 2017

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1409.0298

zbMATH Keywords

projectionsfiltrationslocal martingalespseudo-stopping timesimmersion property

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (6)

Integral representations of martingales for progressive enlargements of filtrations ⋮ Generalized Cox model for default times ⋮ Generalized BSDE and reflected BSDE with random time horizon ⋮ Characteristics and Constructions of Default Times ⋮ Enlargement of Filtration in Discrete Time ⋮ Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization

Cites Work

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• Semi-martingales et grossissement d'une filtration
• A definition and some characteristic properties of pseudo-stopping times
• On an Optional Semimartingale Decomposition and the Existence of a Deflator in an Enlarged Filtration
• A ‘NON-STOPPING’ TIME WITH THE OPTIONAL-STOPPING PROPERTY
• Arbitrages in a Progressive Enlargement Setting

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