Enlarged filtrations for diffusions

DOI10.1016/0304-4149(87)90031-7MaRDI QIDQ1822418zbMATH OpenOpenAlexFDO

Authors Ata N. Al-Hussaini, Robert J. Elliott

Publication date 1987

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(87)90031-7

zbMATH Keywords

filtrationStratonovich integralsemi-martingale decompositionfixed endpoint

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Recommendations

• scientific article; zbMATH DE number 3982184
• An enlargement of filtration for Brownian motion
• Publication:3477773
• Martingale representation for degenerate diffusions
• scientific article; zbMATH DE number 4159794

Cites work

• scientific article; zbMATH DE number 3651483 (Why is no real title available?)
• scientific article; zbMATH DE number 3653255 (Why is no real title available?)
• scientific article; zbMATH DE number 3502517 (Why is no real title available?)
• On backward stochastic differential equations
• Reverse time diffusions

Cited in

(3)

• Enlargement of Filtration in Discrete Time
• Anticipative portfolio optimization under constraints and a higher interest rate for borrowing
• On Itô's formula for multidimensional Brownian motion

This page was built for publication: Enlarged filtrations for diffusions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1822418)