Enlargements of filtrations and path decompositions at non-stopping times

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dc.creatorNikeghbali, Ashkan
dc.date2005-05-28
dc.date2007-07-22
dc.date.accessioned2026-07-07T08:19:30Z
dc.date.available2026-07-07T08:19:30Z
dc.descriptionAzéma associated with an honest time L the supermartingale $Z_{t}^{L}=\mathbb{P}[L>t|\mathcal{F}_{t}]$ and established some of its important properties. This supermartingale plays a central role in the general theory of stochastic processes and in particular in the theory of progressive enlargements of filtrations. In this paper, we shall give an additive characterization for these supermartingales, which in turn will naturally provide many examples of enlargements of filtrations. In particular, we use this characterization to establish some path decomposition results, closely related to or reminiscent of Williams' path decomposition results.
dc.descriptionNew titlle for this second version; Typos corrected; same as the published version in Prob. Theory and Related Fields 136 (4), 2006, 524-540
dc.identifierhttps://arxiv.org/abs/math/0505623
dc.identifierhttp://arxiv.org/abs/math/0505623
dc.identifierProb. Theory and Related Fields 136 (4), 2006, 524-540
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/134784
dc.subjectProbability
dc.subject05C38; 15A15; 15A18
dc.titleEnlargements of filtrations and path decompositions at non-stopping times
dc.typetext

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