Integral representations of martingales for progressive enlargements of filtrations
From MaRDI portal
Publication:2419970
DOI10.1016/j.spa.2018.04.009zbMath1488.60175arXiv1512.03992OpenAlexW2805154588WikidataQ129756434 ScholiaQ129756434MaRDI QIDQ2419970
Marek Rutkowski, Anna Aksamit, Monique Jeanblanc-Picqué
Publication date: 4 June 2019
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1512.03992
Poisson processrandom timeprogressive enlargementpredictable representation propertypseudo-stopping time
Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Stochastic analysis (60H99)
Related Items
MARTINGALE REPRESENTATIONS IN PROGRESSIVE ENLARGEMENT BY MULTIVARIATE POINT PROCESSES ⋮ Some Remarks on Enlargement of Filtration and Finance
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Random times and multiplicative systems
- Martingale representation property in progressively enlarged filtrations
- Random times with given survival probability and their \(\mathbb F\)-martingale decomposition formula
- An explicit model of default time with given survival probability
- Quelques applications de la théorie générale des processus. I
- Mathematical methods for financial markets.
- An essay on the general theory of stochastic processes
- Semi-martingales et grossissement d'une filtration
- The multiplicity of an increasing family of \(\sigma\)-fields
- Default times, no-arbitrage conditions and changes of probability measures
- Progressive enlargement of filtrations with initial times
- Intensity process and compensator: A new filtration expansion approach and the Jeulin-Yor theorem
- Progressive enlargements of filtrations with pseudo-honest times
- A definition and some characteristic properties of pseudo-stopping times
- On Models of Default Risk
- On an Optional Semimartingale Decomposition and the Existence of a Deflator in an Enlarged Filtration
- Nouveaux résultats sur le grossissement des tribus
- Changes of filtrations and of probability measures
- Enlargement of Filtration with Finance in View
- Arbitrages in a Progressive Enlargement Setting
- Study of a filtration expanded to include an honest time
- Projections, Pseudo-Stopping Times and the Immersion Property
- Carthaginian enlargement of filtrations