Drift operator in a viable expansion of information flow (Q288832): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+G07
@@ Property / Mathematics Subject Classification ID: 60G07 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G44
@@ Property / Mathematics Subject Classification ID: 60G44 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G40
@@ Property / Mathematics Subject Classification ID: 60G40 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G80
@@ Property / Mathematics Subject Classification ID: 91G80 / rank @@
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@@ Property / zbMATH DE Number @@
+6586495
@@ Property / zbMATH DE Number: 6586495 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+filtration enlargement
@@ Property / zbMATH Keywords: filtration enlargement / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+information flow
@@ Property / zbMATH Keywords: information flow / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+drift operator
@@ Property / zbMATH Keywords: drift operator / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+market viability
@@ Property / zbMATH Keywords: market viability / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+martingale representation property
@@ Property / zbMATH Keywords: martingale representation property / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+conditional multiplicity
@@ Property / zbMATH Keywords: conditional multiplicity / rank @@
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@@ Property / zbMATH Keywords @@
+local martingale deflator
@@ Property / zbMATH Keywords: local martingale deflator / rank @@
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@@ Property / arXiv ID @@
+.03766
@@ Property / arXiv ID: 1505.03766 / rank @@
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@@ Property / cites work @@
+Arbitrage of the first kind and filtration enlargements in semimartingale financial models
+Normal rank
@@ Property / cites work @@
+No-arbitrage up to random horizon for quasi-left-continuous models
+Normal rank
@@ Property / cites work @@
+Metrics on the set of semimartingale filtrations
@@ Property / cites work: Metrics on the set of semimartingale filtrations / rank @@
+Normal rank
@@ Property / cites work @@
+The Shannon information of filtrations and the additional logarithmic utility of insiders
+Normal rank
@@ Property / cites work @@
+Study of a filtration expanded to include an honest time
+Normal rank
@@ Property / cites work @@
+Q4213426
@@ Property / cites work: Q4213426 / rank @@
+Normal rank
@@ Property / cites work @@
+Carthaginian enlargement of filtrations
@@ Property / cites work: Carthaginian enlargement of filtrations / rank @@
+Normal rank
@@ Property / cites work @@
+Mathematical methods for financial markets.
@@ Property / cites work: Mathematical methods for financial markets. / rank @@
+Normal rank
@@ Property / cites work @@
+How non-arbitrage, viability and numéraire portfolio are related
+Normal rank
@@ Property / cites work @@
+\(\mathcal E\)-martingales and their applications in mathematical finance
+Normal rank
@@ Property / cites work @@
+Q4892148
@@ Property / cites work: Q4892148 / rank @@
+Normal rank
@@ Property / cites work @@
+On arbitrages arising with honest times
@@ Property / cites work: On arbitrages arising with honest times / rank @@
+Normal rank
@@ Property / cites work @@
+Martingales and arbitrage in multiperiod securities markets
+Normal rank
@@ Property / cites work @@
+Q4274285
@@ Property / cites work: Q4274285 / rank @@
+Normal rank
@@ Property / cites work @@
+The existence of dominating local martingale measures
+Normal rank
@@ Property / cites work @@
+Calcul stochastique et problèmes de martingales
@@ Property / cites work: Calcul stochastique et problèmes de martingales / rank @@
+Normal rank
@@ Property / cites work @@
+Q3684922
@@ Property / cites work: Q3684922 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4778955
@@ Property / cites work: Q4778955 / rank @@
+Normal rank
@@ Property / cites work @@
+Progressive enlargement of filtrations with initial times
+Normal rank
@@ Property / cites work @@
+Martingale representation property in progressively enlarged filtrations
+Normal rank
@@ Property / cites work @@
+Random times with given survival probability and their \(\mathbb F\)-martingale decomposition formula
+Normal rank
@@ Property / cites work @@
+Semi-martingales et grossissement d'une filtration
+Normal rank
@@ Property / cites work @@
+Grossissements de filtrations: exemples et applications. Séminaire de Calcul Stochastique 1982/83, Université Paris VI
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@@ Property / cites work @@
+Q4197827
@@ Property / cites work: Q4197827 / rank @@
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@@ Property / cites work @@
+Q4251567
@@ Property / cites work: Q4251567 / rank @@
+Normal rank
@@ Property / cites work @@
+The numéraire portfolio in semimartingale financial models
+Normal rank
@@ Property / cites work @@
+Numéraire-invariant preferences in financial modeling
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@@ Property / cites work @@
+Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing
+Normal rank
@@ Property / cites work @@
+Market viability via absence of arbitrage of the first kind
+Normal rank
@@ Property / cites work @@
+On the semimartingale property of discounted asset-price processes
+Normal rank
@@ Property / cites work @@
+Local martingales, arbitrage, and viability. Free snacks and cheap thrills
+Normal rank
@@ Property / cites work @@
+Random times and enlargements of filtrations in a Brownian setting.
+Normal rank
@@ Property / cites work @@
+Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management
+Normal rank
@@ Property / cites work @@
+Martingale densities for general asset prices
@@ Property / cites work: Martingale densities for general asset prices / rank @@
+Normal rank
@@ Property / cites work @@
+On the minimal martingale measure and the möllmer-schweizer decomposition
+Normal rank
@@ Property / cites work @@
+A note on the condition of no unbounded profit with bounded risk
+Normal rank
@@ Property / cites work @@
+Dynamic One-default Model
@@ Property / cites work: Dynamic One-default Model / rank @@
+Normal rank
@@ Property / cites work @@
+Q3684923
@@ Property / cites work: Q3684923 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:288832