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Measuring the "non-stopping timeness" of ends of previsible sets

In this paper, we propose several "measurements" of the "non-stopping timeness" of ends g of previsible sets, such that g avoids stopping times, in an ambiant filtration. We then study several explicit examples, involving last passage times of some remarkable martingales.
Year of publication:
2008-10
Authors: Yen, Ju-Yi ; Yor, Marc
Institutions: arXiv.org
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application/pdf
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Type of publication: Book / Working Paper
Language: English
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Persistent link: https://www.econbiz.de/10005083664
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