Carthaginian enlargement of filtrations

被引：0
|
作者：
Callegaro, G. [1 ,2 ]
Jeanblanc, M. [3 ]
Zargari, B. [4 ]
机构：
[1] Scuola Normale Superiore, Pisa, Italy
[2] CREST, France
[3] Institut Europlace de Finance, France
[4] Sharif University of Technology, Iran
来源：
ESAIM - Probability and Statistics | 2013年 / 17卷
关键词：
D O I：
暂无
中图分类号：
O212 [数理统计];
学科分类号：
摘要：
This work is concerned with the theory of initial and progressive enlargements of a reference filtration F with a random time τ. We provide, under an equivalence assumption, slightly stronger than the absolute continuity assumption of Jacod, alternative proofs to results concerning canonical decomposition of an F-martingale in the enlarged filtrations. Also, we address martingales' characterization in the enlarged filtrations in terms of martingales in the reference filtration, as well as predictable representation theorems in the enlarged filtrations.
引用
收藏
相关论文
共 50 条
  • [1] CARTHAGINIAN ENLARGEMENT OF FILTRATIONS
    Callegaro, Giorgia
    Jeanblanc, Monique
    Zargari, Behnaz
    ESAIM-PROBABILITY AND STATISTICS, 2013, 17 : 550 - 566
  • [2] Enlargement of Filtrations and models for insider trading
    Kohatsu-Higa, A
    STOCHASTIC PROCESSES AND APPLICATIONS TO MATHEMATICAL FINANCE, 2004, : 151 - 165
  • [3] Progressive enlargement of filtrations with initial times
    Jeanblanc, Monique
    Le Cam, Yann
    STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2009, 119 (08) : 2523 - 2543
  • [4] SUCCESSIVE ENLARGEMENT OF FILTRATIONS AND APPLICATION TO INSIDER INFORMATION
    Blanchet-Scalliet, Christophette
    Hillairet, Caroline
    Jiao, Ying
    ADVANCES IN APPLIED PROBABILITY, 2017, 49 (03) : 653 - 685
  • [5] Initial Enlargement of Filtrations and Entropy of Poisson Compensators
    Ankirchner, Stefan
    Zwierz, Jakub
    JOURNAL OF THEORETICAL PROBABILITY, 2011, 24 (01) : 93 - 117
  • [6] Initial Enlargement of Filtrations and Entropy of Poisson Compensators
    Stefan Ankirchner
    Jakub Zwierz
    Journal of Theoretical Probability, 2011, 24 : 93 - 117
  • [7] The generalized density approach in progressive enlargement of filtrations
    Jiao, Ying
    Li, Shanqiu
    ELECTRONIC JOURNAL OF PROBABILITY, 2015, 20
  • [8] Enlargement of filtrations with random times for processes with jumps
    Kohatsu-Higa, Arturo
    Yamazato, Makoto
    STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2008, 118 (07) : 1136 - 1158
  • [9] Girsanov transformation and its application to the theory of enlargement of filtrations
    Chao, TM
    Chou, CS
    STOCHASTIC ANALYSIS AND APPLICATIONS, 2001, 19 (03) : 439 - 454
  • [10] Enlargement of Filtrations and Continuous Girsanov-Type Embeddings
    Ankirchner, Stefan
    Dereich, Steffen
    Imkeller, Peter
    SEMINAIRE DE PROBABILITES XL, 2007, 1899 : 389 - 410
12345