Non-stopping times and stopping theorems

DOI10.1016/j.spa.2006.06.005zbMath1121.60046arXivmath/0505316OpenAlexW1968969574MaRDI QIDQ875907

Ashkan Nikeghbali

Publication date: 16 April 2007

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

Full work available at URL: https://arxiv.org/abs/math/0505316

zbMATH Keywords

martingalesoptional stopping theoremprogressive enlargement of filtrationsrandom timeszeros of continuous martingales

Mathematics Subject Classification ID

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

Related Items (3)

Applications of pathwise Burkholder-Davis-Gundy inequalities ⋮ Default times, no-arbitrage conditions and changes of probability measures ⋮ How badly are the Burkholder-Davis-Gundy inequalities affected by arbitrary random times?

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