Standardness and nonstandardness of next-jump time filtrations - Archive ouverte HAL
Article Dans Une Revue Electronic Communications in Probability Année : 2013

Standardness and nonstandardness of next-jump time filtrations

Stéphane Laurent
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Résumé

The value of the next-jump time process at each time is the date of its next jump. We characterize the standardness of the filtration generated by this process in terms of the asymptotic behavior at n = −∞ of the probability that the process jumps at time n. In the case when the filtration is not standard we characterize the standardness of its extracted filtrations.
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Dates et versions

hal-00819203 , version 1 (30-04-2013)
hal-00819203 , version 2 (12-06-2013)
hal-00819203 , version 3 (03-06-2014)

Identifiants

  • HAL Id : hal-00819203 , version 3

Citer

Stéphane Laurent. Standardness and nonstandardness of next-jump time filtrations. Electronic Communications in Probability, 2013, 56, pp.1-11. ⟨hal-00819203v3⟩
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