On the characterisation of honest times that avoid all stopping times

We present a short and self-contained proof of the following result: a random time is an honest time that avoids all stopping times if and only if it coincides with the (last) time of maximum of a nonnegative local martingale with zero terminal value and no jumps while at its running supremum, where the latter running supremum process is continuous. Illustrative examples involving local martingales with discontinuous paths are provided.

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Year of publication:	2014
Authors:	Kardaras, Constantinos
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 124.2014, 1, p. 373-384
Publisher:	Elsevier
Subject:	Honest times \| Times of maximum \| Non-negative local martingales \| Running supremum

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010719747