Arbitrage of the first kind and filtration enlargements in semimartingale financial models

DOI10.1016/j.spa.2015.12.004zbMath1337.60081arXiv1401.7198OpenAlexW2132480854MaRDI QIDQ271853

Beatrice Acciaio, Claudio Fontana, Constantinos Kardaras

Publication date: 20 April 2016

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1401.7198

zbMATH Keywords

semimartingalesfinancial modelsarbitrage of the first kindinitial enlargement of filtrationsmartingale deflatorprogressive enlargement of filtrations

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Portfolio theory (91G10)

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