A definition and some characteristic properties of pseudo-stopping times

By Ashkan Nikeghbali, Marc Yor. 2004

74 citations recorded by the source corpus.

Recently, Williams [Bull. London Math. Soc. 34 (2002) 610-612] gave an explicit example of a random time p associated with Brownian motion such that p is not a stopping time but EMp = EM 0 for every bounded martingale M. The aim of this paper is to characterize such random times, which we call pseudo-stopping times, and to construct further examples, using techniques of progressive enlargements of filtrations.

Subfields: Finance, Management Information Systems, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/40a57b68b6969d94c7cea678381a07c75b517231

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Citations in the corpus

Optimal investment decisions when time-horizon is uncertain (2008, background): “On the other hand, one can find examples such that (G) holds and (cf. Nikeghbali and Yor (2005)).”
Optimal transport and Skorokhod embedding (2013, background): “Unfortunately RST is a proper subset of PRST; it is not hard to see this from [37].”
Counterparty Risk and Funding: A Tale of Two Puzzles (2014, methodology): “If we compute TVA(us) = CVA(us) - DVA(us) (see for example Picoult (2005)) we are computing DVA(us) in a world where only we may default and then compute CVA(us) in a world where only the counterparty may default.”
About the Pricing Equations in Finance (2011, background): “Recall that the (H) Hypothesis means that all F̃-local martingales are F – local martingales, whereas being an F̃ – pseudo-stopping time means that all F̃ – local martingales stopped at are G – local martingales (see Nikeghbali and Yor [77]).”