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


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.


Download Citation

Stéphane Laurent. "Standardness and nonstandardness of next-jump time filtrations." Electron. Commun. Probab. 18 1 - 11, 2013.


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

Primary: 60G05
Secondary: 60J10

Keywords: Cosy filtration , Standard filtration

Back to Top