Standardness and nonstandardness of next-jump time filtrations

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dc.contributorChercheur indépendant
dc.creatorLaurent, Stéphane
dc.date2013
dc.date.accessioned2026-07-25T13:44:10Z
dc.descriptionInternational audience
dc.descriptionThe value of the next-jump time process at each time is the date of its next jump. We characterize the standardness of the filtration generated by this process in terms of the asymptotic behavior at n = −∞ of the probability that the process jumps at time n. In the case when the filtration is not standard we characterize the standardness of its extracted filtrations.en
dc.identifierhal-00819203
dc.identifierhttps://hal.science/hal-00819203
dc.identifierhttps://hal.science/hal-00819203v3/document
dc.identifierhttps://hal.science/hal-00819203v3/file/NextJumpTimeFiltrations_HALv3.pdf
dc.identifier.urihttps://dspace.dare.co.zw/handle/123456789/19861
dc.languageen
dc.publisherCCSD
dc.publisherInstitute of Mathematical Statistics (IMS)
dc.rightshttps://about.hal.science/hal-authorisation-v1/
dc.rightsinfo:eu-repo/semantics/OpenAccess
dc.sourceISSN: 1083-589X
dc.sourceElectronic Communications in Probability
dc.sourcehttps://hal.science/hal-00819203
dc.sourceElectronic Communications in Probability, 2013, 56, pp.1-11
dc.subjectfiltrationit
dc.subjectstandardnessit
dc.subjectcosinessit
dc.subject60G05 60J10
dc.subject[MATH.MATH-PR]Mathematics [math]/Probability [math.PR]
dc.titleStandardness and nonstandardness of next-jump time filtrationsen
dc.typeinfo:eu-repo/semantics/article
dc.typeJournal articles

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