CLASSIFICATION OF RANDOM TIMES AND APPLICATIONS
Résumé
The paper gathers together ideas related to thin random time, i.e., random time whose graph is contained in a thin set. The concept naturally completes the studies of random times and progressive enlargement of filtrations. We develop classification and (*)-decomposition of random times, which is analogous to the decomposition of a stopping time into totally inaccessible and accessible parts, and we show applications to the hypothesis (H ′), honest times and informational drift via entropy.
Domaines
Probabilités [math.PR]Origine | Fichiers produits par l'(les) auteur(s) |
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