Progressive enlargements of filtrations with pseudo-honest times
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Publication:2511557
DOI10.1214/13-AAP955zbMath1327.60100arXiv1307.6389WikidataQ109040205 ScholiaQ109040205MaRDI QIDQ2511557
Publication date: 6 August 2014
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1307.6389
financial mathematicsrandom timessemimartingale decompositionenlarged filtration\(\mathbb{F}\)-martingalespseudo-honest times
Generalizations of martingales (60G48) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Credit risk (91G40)
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