论避开一切停时的诚实时的特征
On the characterisation of honest times that avoid all stopping times
摘要:
我们提出了一个简短的和自包含的证明以下结果:一个随机时间是诚实的时间,避免所有停时当且仅当它与一个非负局部鞅的(最后)最大值的时间相一致,零终端值和没有跳跃,而在其运行上确界,后者运行上确界过程是连续的。说明性的例子涉及局部鞅与不连续的道路。
英文摘要:
We present a short and self-contained proof of the following result: a random time is an honest time that avoids all stopping times if and only if it coincides with the (last) time of maximum of a nonnegative local martingale with zero terminal value and no jumps while at its running supremum, where the latter running supremum process is continuous. Illustrative examples involving local martingales with discontinuous paths are provided.
机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。