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On the characterisation of honest times that avoid all stopping times

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  • Kardaras, Constantinos

Abstract

We present a short and self-contained proof of the following result: a random time is an honest time that avoids all stopping times if and only if it coincides with the (last) time of maximum of a nonnegative local martingale with zero terminal value and no jumps while at its running supremum, where the latter running supremum process is continuous. Illustrative examples involving local martingales with discontinuous paths are provided.

Suggested Citation

  • Kardaras, Constantinos, 2014. "On the characterisation of honest times that avoid all stopping times," Stochastic Processes and their Applications, Elsevier, vol. 124(1), pages 373-384.
    • Handle: RePEc:eee:spapps:v:124:y:2014:i:1:p:373-384
    DOI: 10.1016/j.spa.2013.07.012
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    References listed on IDEAS

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    1. Ashkan Nikeghbali & Eckhard Platen, 2013. "A reading guide for last passage times with financial applications in view," Finance and Stochastics, Springer, vol. 17(3), pages 615-640, July.
    2. R. J. Elliott & M. Jeanblanc & M. Yor, 2000. "On Models of Default Risk," Mathematical Finance, Wiley Blackwell, vol. 10(2), pages 179-195, April.
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    Cited by:

    1. Anna Aksamit & Tahir Choulli & Jun Deng & Monique Jeanblanc, 2013. "Non-Arbitrage up to Random Horizon for Semimartingale Models," Papers 1310.1142, arXiv.org, revised Feb 2014.
    2. Claudio Fontana & Monique Jeanblanc & Shiqi Song, 2014. "On arbitrages arising with honest times," Finance and Stochastics, Springer, vol. 18(3), pages 515-543, July.
    3. Libo Li & Ruyi Liu & Marek Rutkowski, 2022. "Vulnerable European and American Options in a Market Model with Optional Hazard Process," Papers 2212.12860, arXiv.org.
    4. Anna Aksamit & Tahir Choulli & Jun Deng & Monique Jeanblanc, 2015. "Non-Arbitrage Under Additional Information for Thin Semimartingale Models," Papers 1505.00997, arXiv.org.
    5. Irina Penner & Anthony Réveillac, 2015. "Risk measures for processes and BSDEs," Finance and Stochastics, Springer, vol. 19(1), pages 23-66, January.
    6. Libo Li, 2018. "Characterisation of honest times and optional semimartingales of class-($\Sigma$)," Papers 1801.03873, arXiv.org, revised Dec 2021.
    7. Libo Li, 2022. "Characterisation of Honest Times and Optional Semimartingales of Class- $$(\Sigma )$$ ( Σ )," Journal of Theoretical Probability, Springer, vol. 35(4), pages 2145-2175, December.

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