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

DOI10.1214/21-EJP694zbMATH Open1497.60066OpenAlexW3198349192MaRDI QIDQ2076599FDOQ2076599

Dongli Wu, Monique Jeanblanc, Pavel Gapeev

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 motionconditional probability densitychanges of probability measuresinitial and progressive enlargements of filtrationsJacod's equivalence hypothesispredictable (martingale) representation property

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• On models of default risk.
• Insider Trading in a Continuous Time Market Model
• Mathematical methods for financial markets.
• Semi-martingales et grossissement d'une filtration
• Calcul stochastique d�pendant d'un param�tre
• Point processes and queues. Martingale dynamics
• Martingale representation theorems for initially enlarged filtrations.
• Progressive enlargement of filtrations with initial times
• Martingale representation property in progressively enlarged filtrations
• Carthaginian enlargement of filtrations
• Optional splitting formula in a progressively enlarged filtration
• The multiplicity of an increasing family of \(\sigma\)-fields
• What happens after a default: the conditional density approach
• Stochastic Equilibria: Existence, Spanning Number, and the `No Expected Financial Gain from Trade' Hypothesis
• Enlargement of Filtration with Finance in View
• Semimartingales and shrinkage of filtration

Cited In (3)

• 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
• Optional projection under equivalent local martingale measures

This page was built for publication: Projections of martingales in enlargements of Brownian filtrations under Jacod's equivalence hypothesis

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2076599)