منابع مشابه
A Definition and Some Characteristic Properties of Pseudo-stopping times by Ashkan Nikeghbali and Marc Yor
Recently, Williams [Bull. London Math. Soc. 34 (2002) 610–612] gave an explicit example of a random time � associated with Brownian motion such that � is not a stopping time but E(M�)=E(M0) for every bounded martingale M. The aim of this paper is to characterize such random times, which we call pseudo-stopping times, and to construct further examples, using techniques of progressive enlargement...
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The distribution of the sequence of ranked maximum and minimum values attained during excursions of a standard Brownian bridge Bbr t 0 ≤ t ≤ 1 is described. The height Mbr+ j of the jth highest maximum over a positive excursion of the bridge has the same distribution as Mbr+ 1 /j, where the distribution of Mbr+ 1 = sup0≤t≤1 Bbr t is given by Lévy’s formula P Mbr+ 1 > x = e−2x 2 . The probabilit...
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Viewing the Matsumoto–Yor property as a bivariate property with respect to the simple tree with two vertices and one edge, we extend it to a p-variate property with respect to any tree with p vertices. The converse of the Matsumoto–Yor property, which characterizes the product of a gamma and a generalized inverse Gaussian distribution, is extended to characterize the product of a gamma and p 1 ...
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ژورنال
عنوان ژورنال: Notices of the American Mathematical Society
سال: 2014
ISSN: 0002-9920,1088-9477
DOI: 10.1090/noti1128