Projections of martingales in enlargements of Brownian filtrations under Jacod's equivalence hypothesis

DOI10.1214/21-EJP694MaRDI QIDQ2076599zbMATH OpenOpenAlexFDO

Authors Dongli Wu, Pavel Gapeev, Monique Jeanblanc

Publication date 22 February 2022

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/21-ejp694

zbMATH Keywords

Brownian motionchanges of probability measuresconditional probability densityinitial and progressive enlargements of filtrationsJacod's equivalence hypothesispredictable (martingale) representation property

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Credit risk (91G40)

Recommendations

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• The strong predictable representation property in initially enlarged filtrations under the density hypothesis

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Cited in

(6)

• Optional projection under equivalent local martingale measures
• Carthaginian enlargement of filtrations
• New challenges in the interplay between finance and insurance. Abstracts from the workshop held October 1--6, 2023
• On the construction of conditional probability densities in the Brownian and compound Poisson filtrations
• Invariance times transfer properties
• Projections in enlargements of filtrations under Jacod's absolute continuity hypothesis for marked point processes

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