A definition and some characteristic properties of pseudo-stopping times
成果类型：
Article
署名作者：
Nikeghbali, A; Yor, M
署名单位：
Universite Paris Cite; Sorbonne Universite; Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI)
刊物名称：
ANNALS OF PROBABILITY
ISSN/ISSBN：
0091-1798
DOI：
10.1214/009117905000000297
发表日期：
2005
页码：
1804-1824
关键词：
摘要：
Recently, Williams [Bull. London Math. Soc. 34 (2002) 610-612]gave an explicit example of a random time rho associated with Brownian motion such that p is not a stopping time but EM rho = EM0 for every bounded martingale M. The aim of this paper is to characterize such random times, which we call pseudo-stopping times, and to construct further examples, using techniques of progressive enlargements of filtrations.