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

Ju-Yi Yen and Marc Yor

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Abstract: 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.

Date: 2008-10
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0810.1059

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