Projections of martingales in enlargements of Brownian filtrations under Jacod's equivalence hypothesis (Q2076599)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Projections of martingales in enlargements of Brownian filtrations under Jacod's equivalence hypothesis |
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Projections of martingales in enlargements of Brownian filtrations under Jacod's equivalence hypothesis (English)
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22 February 2022
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The authors provide results relying on the projection properties of a Brownian martingale process. The projection properties of martingales may be used into a consequently estimation of hitting times.
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Brownian motion
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changes of probability measures
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conditional probability density
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initial and progressive enlargements of filtrations
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Jacod's equivalence hypothesis
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predictable (martingale) representation property
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