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Pré-Publication, Document De Travail Année : 2017

INVARIANCE TIMES *

Résumé

On a probability space $(\Omega,\mathcal{A},\mathbb{Q})$ we consider two filtrations $\mathbb{F}\subset \mathbb{G}$ and a $\mathbb{G}$ stopping time $\theta$ such that the $\mathbb{G}$ predictable processes coincide with $\mathbb{F}$ predictable processes on $(0,\theta]$. In this setup it is well-known that, for any $\mathbb{F}$ semimartingale $X$, the process $X^{\theta-}$ ($X$ stopped ``right before $\theta$'') is a $\mathbb{G}$ semimartingale. Given a positive constant $T$, we call $\theta$ an invariance time if there exists a probability measure $\mathbb{P}$ equivalent to $\mathbb{Q}$ on $\mathcal{F}_T$ such that, for any $(\mathbb{F},\mathbb{P})$ local martingale $X$, $X^{\theta-}$ is a $(\mathbb{G},\mathbb{Q})$ local martingale. We characterize invariance times in terms of the $(\mathbb{F},\mathbb{Q})$ Az\'ema supermartingale of $\theta$ and we derive a mild and tractable invariance time sufficiency condition. We discuss invariance times in mathematical finance and BSDE applications.
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hal-01455414 , version 1 (03-02-2017)

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Stéphane Crépey, Shiqi Song. INVARIANCE TIMES *. 2017. ⟨hal-01455414⟩
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