CLASSIFICATION OF RANDOM TIMES AND APPLICATIONS

Abstract : 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.
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Submitted on : Monday, May 16, 2016 - 10:32:48 AM
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  • HAL Id : hal-01316246, version 1

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Anna Aksamit, Tahir Choulli, Monique Jeanblanc. CLASSIFICATION OF RANDOM TIMES AND APPLICATIONS. 2016. ⟨hal-01316246⟩

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