AKSAMIT Anna Natalia

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Affiliations
  • 2013 - 2018
    Laboratoire de Mathématiques et Modélisation d'Evry
  • 2013 - 2017
    University of Oxford
  • 2013 - 2014
    Ecole doctorale sitevry
  • 2013 - 2014
    Université d'Evry Val d'Essonne
  • 2018
  • 2017
  • 2016
  • 2015
  • 2014
  • Thin times and random times' decomposition.

    Anna AKSAMIT, Tahir CHOULLI, Monique JEANBLANC
    2018
    The paper studies thin times which are random times whose graph is contained in a countable union of the graphs of stopping times with respect to a reference filtration F. We show that a generic random time can be decomposed into thin and thick parts, where the second is a random time avoiding all F-stopping times. Then, for a given random time τ , we introduce F τ , the smallest right-continuous filtration containing F and making τ a stopping time, and we show that, for a thin time τ , each F-martingale is an F τ-semimartingale, i.e., the hypothesis (H) for (F, F τ) holds. We present applications to honest times, which can be seen as last passage times, showing classes of filtrations which can only support thin honest times, or can accommodate thick honest times as well.
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