The past of a stopping point and stopping for two-parameter processes

Jean-Pierre Fouque

Journal of Multivariate Analysis, 1983, vol. 13, issue 4, 561-577

Abstract: Optional increasing paths passing through a given stopping point are studied. A characterization of the two extreme optional increasing paths is obtained. The past of a stopping point is defined, and a description of the largest stopping point smaller than two given stopping points is given. A stopping procedure is naturally associated with this notion of infimum. Stopped martingales and stopped filtrations are studied. "Local martingales" are defined and studied along horizontal and vertical lines. A nontrivial example of "local martingale" is given.

Keywords: Stopping; point; optional; increasing; path; past; of; a; stopping; point; stopped; martingale; "local; martingale"; (null) (search for similar items in EconPapers)
Date: 1983
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