On the characterisation of honest times that avoid all stopping times

Constantinos Kardaras

Stochastic Processes and their Applications, 2014, vol. 124, issue 1, 373-384

Abstract: 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.

Keywords: Honest times; Times of maximum; Non-negative local martingales; Running supremum (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:124:y:2014:i:1:p:373-384

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DOI: 10.1016/j.spa.2013.07.012

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