Non Stopping Times and Stopping Theorems
Probability
2007-08-03 v2
Abstract
Given a random time, we characterize 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. We also investigate, in the Brownian setting, the relationships between a given random time and the underlying Brownian Motion in the progressively enlarged filtration with respect to this random time.
Keywords
Cite
@article{arxiv.math/0505316,
title = {Non Stopping Times and Stopping Theorems},
author = {Ashkan Nikeghbali},
journal= {arXiv preprint arXiv:math/0505316},
year = {2007}
}
Comments
Typos corrected. Close to the published version