Linking Progressive and Initial Filtration Expansions

DOI10.1007/978-1-4614-5906-4_21zbMath1317.60047arXiv1104.4139OpenAlexW1581851581MaRDI QIDQ2841794

Younes Kchia, Martin Larsson, Philip E. Protter

Publication date: 30 July 2013

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1104.4139

zbMATH Keywords

filtrationssemimartingalerandom times

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

Related Items (11)

LOCAL RISK MINIMIZATION OF CONTINGENT CLAIMS SIMULTANEOUSLY EXPOSED TO ENDOGENOUS AND EXOGENOUS DEFAULT TIMES ⋮ Martingale representations in progressive enlargement by the reference filtration of a semi-martingale: a note on the multidimensional case ⋮ Dynamics of multivariate default system in random environment ⋮ An enlargement of filtration formula with applications to multiple non-ordered default times ⋮ Expansion of a filtration with a stochastic process: the information drift ⋮ The dynamic spread of the forward CDS with general random loss ⋮ The strong predictable representation property in initially enlarged filtrations under the density hypothesis ⋮ Progressive enlargements of filtrations with pseudo-honest times ⋮ Information uncertainty related to marked random times and optimal investment ⋮ Successive enlargement of filtrations and application to insider information ⋮ PROGRESSIVE FILTRATION EXPANSIONS VIA A PROCESS, WITH APPLICATIONS TO INSIDER TRADING

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