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 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)

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