Classification of random times and applications

Anna Aksamit, Tahir Choulli, Monique Jeanblanc

Published 2016-05-12Version 1

The paper gathers together ideas related to thin random time, i.e., random time whose graph is contained in a thin set. The concept naturally completes the studies of random times and progressive enlargement of filtrations. We develop classification and $(*)$-decomposition of random times, which is analogous to the decomposition of a stopping time into totally inaccessible and accessible parts, and we show applications to the hypothesis $({\mathcal H}^\prime)$, honest times and informational drift via entropy.