Non-stopping times and stopping theorems

DOI10.1016/J.SPA.2006.06.005zbMATH Open1121.60046arXivmath/0505316OpenAlexW1968969574MaRDI QIDQ875907FDOQ875907

Authors: A. Nikeghbali 

Publication date: 16 April 2007

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

Abstract: Given a random time, we characterize the set of martingales for which the stopping theorems still hold. We also investigate how the stopping theorems are modified when we consider arbitrary random times. To this end, we introduce some families of martingales with remarkable properties. We also investigate, in the Brownian setting, the relationships between a given random time and the underlying Brownian Motion in the progressively enlarged filtration with respect to this random time.

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

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zbMATH Keywords

martingalesprogressive enlargement of filtrationsrandom timesoptional stopping theoremzeros of continuous martingales

Mathematics Subject Classification ID

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

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Cited In (21)

• Hazard processes and martingale hazard processes
• Characterisation of honest times and optional semimartingales of class-\((\Sigma)\)
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• Random times and multiplicative systems
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• Thin times and random times' decomposition
• The expected value of an everywhere stopped martingale
• Introduction to stopping time in stochastic finance theory. II
• On the characterisation of honest times that avoid all stopping times

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