Comportement des semi-martingales dans un grossissement de filtration

DOI10.1007/BF00531603MaRDI QIDQ4197829zbMATH OpenOpenAlexFDO

Authors Thierry Jeulin

Publication date 1980

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf00531603

zbMATH Keywords

Brownian motionsemi-martingales

Mathematics Subject Classification ID

Brownian motion (60J65) Generalizations of martingales (60G48)

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• Nouveaux résultats sur le grossissement des tribus
• Quasimartingales, martingales locales, semimartingales et filtration naturelle
• Sojourn times of diffusion processes
• Study of a filtration expanded to include an honest time
• �tude des solutions extr�males et repr�sentation int�grale des solutions pour certains probl�mes de martingales

Cited in

(10)

• BSDEs of counterparty risk
• CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP
• Unit-linked life insurance policies: optimal hedging in partially observable market models
• Quadratic hedging in an incomplete market derived by an influential informed investor
• Martingale representation property in progressively enlarged filtrations
• Markov bridges: SDE representation
• Free lunch and arbitrage possibilities in a financial market model with an insider.
• How badly are the Burkholder-Davis-Gundy inequalities affected by arbitrary random times?
• Progressive enlargements of filtrations with pseudo-honest times
• Option hedging by an influential informed investor

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