Comportement des semi-martingales dans un grossissement de filtration

DOI10.1007/BF00531603zbMath0411.60047OpenAlexW2007504518MaRDI QIDQ4197829

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)

Related Items (10)

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

Cites Work

• Sojourn times of diffusion processes
• Nouveaux résultats sur le grossissement des tribus
• [https://portal.mardi4nfdi.de/wiki/Publication:4115871 �tude des solutions extr�males et repr�sentation int�grale des solutions pour certains probl�mes de martingales]
• Quasimartingales, martingales locales, semimartingales et filtration naturelle
• Study of a filtration expanded to include an honest time
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