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Browsing by Author "Yor, Marc"

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    MEASURING THE "NON-STOPPING TIMENESS" OF ENDS OF PREVISIBLE SETS
    (2012-10-01)
    Wu, Ching-Tang
    ;
    Yen, Ju-Yi
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    Yor, Marc
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    應用數學系
    ;
    Department of Applied Mathematics
    In this paper, we propose some "measurements" of the "non-stopping timeness" of ends G of previsible sets, such that G avoids stopping times, in an ambiant filtration. We then study several explicit examples, involving last passage times of some remarkable martingales.