Non-stopping times and stopping theorems

Ashkan Nikeghbali

Stochastic Processes and their Applications, 2007, vol. 117, issue 4, 457-475

Abstract: Given a random time, we give some characterizations of the set of martingales for which the stopping theorems still hold. We also investigate how the stopping theorems are modified when we consider arbitrary random times. To this end, we introduce some families of martingales with remarkable properties.

Keywords: Random; times; Progressive; enlargement; of; filtrations; Optional; stopping; theorem; Martingales; Zeros; of; continuous; martingales (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (3)

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