scientific article; zbMATH DE number 3907486
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Publication:3684922
zbMATH Open0568.60049MaRDI QIDQ3684922FDOQ3684922
Authors: Jean Jacod 
Publication date: 1985
Title of this publication is not available (Why is that?)
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semimartingalelocal martingalecanonical decompositionextension of filtrationrandom variable with values in a Lusin space
Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Continuity and singularity of induced measures (60G30)
Cited In (79)
- BSDEs of counterparty risk
- The dynamic spread of the forward CDS with general random loss
- The strong predictable representation property in initially enlarged filtrations under the density hypothesis
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- Uncertainty and inside information
- Pricing rules under asymmetric information
- Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization
- Dynkin game with asymmetric information
- Competitive market equilibrium under asymmetric information
- Enlargement of Filtrations and Continuous Girsanov-Type Embeddings
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- Arbitrage of the first kind and filtration enlargements in semimartingale financial models
- BSDEs driven by Lévy process with enlarged filtration and applications in finance
- The insider trading problem in a jump-binomial model
- Conditioning and initial enlargement of filtration on a Riemannian manifold.
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- Risk measures and progressive enlargement of filtration: a BSDE approach
- Drift operator in a viable expansion of information flow
- A stochastic flow arising in the study of local times
- The existence of dominating local martingale measures
- Liquidity drops
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- Martingale representation property in progressively enlarged filtrations
- Random times with given survival probability and their \(\mathbb F\)-martingale decomposition formula
- Additional logarithmic utility of an insider
- What happens after a default: the conditional density approach
- Structure condition under initial enlargement of filtration
- Local time-space calculus for symmetric Lévy processes
- Free lunch and arbitrage possibilities in a financial market model with an insider.
- Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management
- Information, no-arbitrage and completeness for asset price models with a change point
- Martingale representation processes and applications in the market viability under information flow expansion
- Stationary solutions of the stochastic differential equation \(dV_t = V_t -dU_t + dL_t\) with Lévy noise
- Martingale representation theorems for initially enlarged filtrations.
- Structure Conditions under Progressively Added Information
- Comparison of insiders' optimal strategies depending on the type of side-information
- An extension of Itô's formula for elliptic diffusion processes
- On stochastic calculus related to financial assets without semimartingales
- Martingale representations in progressive enlargement by the reference filtration of a semi-martingale: a note on the multidimensional case
- The value of informational arbitrage
- Portfolio optimization with insider's initial information and counterparty risk
- On filtration enlargements and purely discontinuous martingales
- Dynamics of multivariate default system in random environment
- The value of foresight
- Progressive enlargement of filtrations with initial times
- Utility maximisation and utility indifference price for exponential semi-martingale models and HARA utilities
- An enlargement of filtration formula with applications to multiple non-ordered default times
- Girsanov theory under a finite entropy condition
- A white noise approach to optimal insider control of systems with delay
- Information uncertainty related to marked random times and optimal investment
- Conditional default probability and density
- Enlargement of filtrations with random times for processes with jumps
- Partial functional quantization and generalized bridges
- Thin times and random times' decomposition
- Projections of martingales in enlargements of Brownian filtrations under Jacod's equivalence hypothesis
- Insider information and its relation with the arbitrage condition and the utility maximization problem
- Semimartingales and shrinkage of filtration
- Expansion of a filtration with a stochastic process: the information drift
- McKean–Vlasov Optimal Control: Limit Theory and Equivalence Between Different Formulations
- Strict local martingales via filtration enlargement
- Characteristics and constructions of default times
- Viable insider markets
- Controlled measure-valued martingales: a viscosity solution approach
- BSDEs and enlargement of filtration
- Successive enlargement of filtrations and application to insider information
- GIRSANOV TRANSFORMATION AND ITS APPLICATION TO THE THEORY OF ENLARGEMENT OF FILTRATIONS
- Expected utility maximization for exponential Lévy models with option and information processes
- Generalized Cox model for default times
- Enlargement of Filtration in Discrete Time
- Some Remarks on Enlargement of Filtration and Finance
- On the compensator of step processes in progressively enlarged filtrations and related control problems
- On the construction of conditional probability densities in the Brownian and compound Poisson filtrations
- Utility maximization under risk constraints and incomplete information for a market with a change point
- Conditioning diffusions with respect to incomplete observations
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- Filtrations indexed by ordinals; application to a conjecture of S.\,Laurent
- Dynamic equilibrium with insider information and general uninformed agent utility
- Doubly reflected BSDEs driven by RCLL martingales under stochastic Lipschitz coefficient
- Anticipative information in a Brownian-Poisson market
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