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arXiv:1112.1603 [math.PR]AbstractReferencesReviewsResources

Stopping times are hitting times: a natural representation

Tom Fischer

Published 2011-12-07, updated 2012-06-19Version 4

There exists a simple, didactically useful one-to-one relationship between stopping times and adapted c\`agl\`ad (LCRL) processes that are non-increasing and take the values 0 and 1 only. As a consequence, stopping times are always hitting times.

Journal: Fischer, T., 2012. On simple representations of stopping times and stopping time sigma-algebras. Statistics & Probability Letters. doi: 10.1016/j.spl.2012.09.024
Categories: math.PR
Subjects: 60G40, 97K50, 97K60
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