Study of a filtration expanded to include an honest time |
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| Authors: | M T Barlow |
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| Institution: | (1) Department of Pure Mathematics, University College of Swansea, SA2 8PP Singleton Park, Swansea, UK |
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| Abstract: | Summary Let ( , , P) be a measurable space, and {
t} be a filtration on (,). Then, given a fixed honest timeL a new filtrationG
t} is defined, the smallest containing {
t} and for whichL is a stopping time, and the martingales, semimartingales and stopping times of this new filtration are characterised. |
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| Keywords: | |
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