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

2008/10/06 by Ju-Yi Yen, Marc Yor, Yen, Ju-Yi +1
Economics, Econometrics and Finance · Mathematics · #60G #Economic theories and models #FOS: Economics and business #FOS: Mathematics #Mathematical Dynamics and Fractals #Probability (math.PR) #Statistical Finance (q-fin.ST) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.0810.1059

openalex publication_date 2008/10/06 · openalex created_date 2016/06/24 · openalex updated_date 2026/07/28

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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