Filtration shrinkage, the structure of deflators, and failure of market completeness

DOI10.1007/s00780-020-00435-2zbMath1456.60099arXiv1912.04652OpenAlexW3083668951MaRDI QIDQ2211342

Johannes Ruf, Constantinos Kardaras

Publication date: 11 November 2020

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1912.04652

zbMATH Keywords

Brownian motionmarket completenesslocal martingaleBayes ruleLévy transformpredictable representation propertydeflator

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Uniqueness in Cauchy problems for diffusive real-valued strict local martingales ⋮ Simplified calculus for semimartingales: multiplicative compensators and changes of measure ⋮ Optional projection under equivalent local martingale measures ⋮ Thin times and random times' decomposition

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