Enlargement of filtration and predictable representation property for semi-martingales
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Publication:2833695
DOI10.1080/17442508.2015.1124878zbMath1352.60064arXiv1309.5766OpenAlexW3101560874MaRDI QIDQ2833695
Barbara Torti, Antonella Calzolari
Publication date: 25 November 2016
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1309.5766
filtration enlargementsemi-martingalesfinancial market completenesspredictable representation property
Generalizations of martingales (60G48) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05)
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