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2013 Standardness and nonstandardness of next-jump time filtrations
Stéphane Laurent
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Electron. Commun. Probab. 18: 1-11 (2013). DOI: 10.1214/ECP.v18-2766

Abstract

The value of the next-jump time process at each time is the date of its the next jump. We characterize the standardness of the filtration generated by this process in terms of the asymptotic behavior at $n=-\infty$ 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.

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Stéphane Laurent. "Standardness and nonstandardness of next-jump time filtrations." Electron. Commun. Probab. 18 1 - 11, 2013. https://doi.org/10.1214/ECP.v18-2766

Information

Accepted: 7 July 2013; Published: 2013
First available in Project Euclid: 7 June 2016

zbMATH: 1300.60041
MathSciNet: MR3078019
Digital Object Identifier: 10.1214/ECP.v18-2766

Subjects:
Primary: 60G05
Secondary: 60J10

JOURNAL ARTICLE
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