Single jump filtrations and local martingales
A single jump filtration ${({\mathcal{F}_{t}})_{t\in {\mathbb{R}_{+}}}}$ generated by a random variable γ with values in ${\overline{\mathbb{R}}_{+}}$ on a probability space $(\Omega ,\mathcal{F},\mathsf{P})$ is defined as follows: a set $A\in \mathcal{F}$ belongs to ${\mathcal{F}_{t}}$ if $A\cap \{...
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| Format: | Article |
| Language: | English |
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VTeX
2020-05-01
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| Series: | Modern Stochastics: Theory and Applications |
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| Online Access: | https://www.vmsta.org/doi/10.15559/20-VMSTA153 |