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arXiv · 0810.1059

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

Ju-Yi Yen·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.

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Ju-Yi Yen, Marc Yor. 2008-10-06. Measuring the "non-stopping timeness" of ends of previsible sets. https://arxiv.org/abs/0810.1059

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