Enlargements of filtrations and path decompositions at non-stopping times

Details Enlargements of filtrations and path decompositions at non-stopping times Enlargements of filtrations and path decompositions at non-stopping times

2005-05-28

arxiv.org/abs/math/0505623v2

Prob. Theory and Related Fields 136 (4), 2006, 524-540

Mathematics

Probability

New titlle for this second version; Typos corrected; same as the published version in Prob. Theory and Related Fields 136 (4),

Scientific paper

Az\'{e}ma 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.

Affiliated with

Also associated with

No associations

Rating

Enlargements of filtrations and path decompositions at non-stopping times does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Enlargements of filtrations and path decompositions at non-stopping times, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Enlargements of filtrations and path decompositions at non-stopping times will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-80357