No-arbitrage up to random horizon for quasi-left-continuous models

DOI10.1007/s00780-017-0337-3zbMath1391.91165OpenAlexW2727453577MaRDI QIDQ2412394

Anna Aksamit, Jun Deng, Tahir Choulli, Monique Jeanblanc-Picqué

Publication date: 23 October 2017

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

Full work available at URL: https://doi.org/10.1007/s00780-017-0337-3

zbMATH Keywords

no arbitrageprogressive enlargement of filtrationrandom horizoninformational arbitragequasi-left-cintinuous semimartingale

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Generalizations of martingales (60G48) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05) Portfolio theory (91G10) Actuarial science and mathematical finance (91G99)

Related Items (15)

Characterisation of \(L^0\)-boundedness for a general set of processes with no strictly positive element ⋮ Arbitrage of the first kind and filtration enlargements in semimartingale financial models ⋮ Drift operator in a viable expansion of information flow ⋮ Log-optimal and numéraire portfolios for market models stopped at a random time ⋮ Explicit description of all deflators for market models under random horizon with applications to NFLVR ⋮ Making no-arbitrage discounting-invariant: a new FTAP version beyond NFLVR and NUPBR ⋮ Quadratic hedging for sequential claims with random weights in discrete time ⋮ No-arbitrage under a class of honest times ⋮ Generalized BSDE and reflected BSDE with random time horizon ⋮ Filtration shrinkage, the structure of deflators, and failure of market completeness ⋮ Structure Conditions under Progressively Added Information ⋮ Enlargement of Filtration in Discrete Time ⋮ Change of measure up to a random time: details ⋮ No-arbitrage under additional information for thin semimartingale models ⋮ On an Optional Semimartingale Decomposition and the Existence of a Deflator in an Enlarged Filtration

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