Standardness and nonstandardness of next-jump time filtrations

@article{Laurent2013StandardnessAN,
  title={Standardness and nonstandardness of next-jump time filtrations},
  author={St{\'e}phane Laurent},
  journal={Electronic Communications in Probability},
  year={2013},
  volume={18},
  pages={1-11}
}
  • S. Laurent
  • Published 7 July 2013
  • Mathematics
  • Electronic Communications in Probability
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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Acknowledgments. I am grateful to Michel Émery, Christophe Leuridan and the anonymous referee for their careful review and their comments on the earlier drafts of this paper
  • Acknowledgments. I am grateful to Michel Émery, Christophe Leuridan and the anonymous referee for their careful review and their comments on the earlier drafts of this paper
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