A definition and some characteristic properties of pseudo-stopping times
| dc.creator | Nikeghbali, Ashkan | |
| dc.creator | Yor, Marc | |
| dc.date | 2004-06-23 | |
| dc.date | 2004-12-15 | |
| dc.date.accessioned | 2026-07-07T05:09:30Z | |
| dc.date.available | 2026-07-07T05:09:30Z | |
| dc.description | Recently, D. Williams \cite{williams} gave an explicit example of a random time $ρ$ associated with Brownian motion such that $ρ$ is not a stopping time but $\mathbb{E}M_ρ=\mathbb{E}M_{0}$ for every bounded martingale $M$. The aim of this paper is to give some characterizations for such random times, which we call pseudo-stopping times, and to construct further examples, using techniques of progressive enlargements of filtrations. | |
| dc.description | 30 pages; to appear in Annals of Probability | |
| dc.identifier | https://arxiv.org/abs/math/0406459 | |
| dc.identifier | http://arxiv.org/abs/math/0406459 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/71647 | |
| dc.subject | Probability | |
| dc.subject | 60G07; 60G40; 60G44 | |
| dc.title | A definition and some characteristic properties of pseudo-stopping times | |
| dc.type | text |