Enlargements of filtrations: initial and progressive enlargements

DOI10.1051/PROC/201756139MaRDI QIDQ4606389zbMATHOpenAlexFDO

Authors Marc Yor

Publication date 7 March 2018

Published in ESAIM: Proceedings and Surveys (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://doi.org/10.1051/proc/201756139

zbMATH Keywords

martingalesenlargements of filtrations

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)

Recommendations

• Linking progressive and initial filtration expansions
• Progressive enlargement of filtrations with initial times
• Enlargement of Filtration in Discrete Time
• Enlargement of filtrations with finance in view
• Random times and enlargements of filtrations in a Brownian setting.

Cites work

• scientific article; zbMATH DE number 3907487 (Why is no real title available?)
• scientific article; zbMATH DE number 3921633 (Why is no real title available?)
• scientific article; zbMATH DE number 3637052 (Why is no real title available?)
• scientific article; zbMATH DE number 3638887 (Why is no real title available?)
• scientific article; zbMATH DE number 3638888 (Why is no real title available?)
• Nouveaux résultats sur le grossissement des tribus
• Study of a filtration expanded to include an honest time

Cited in

(8)

• scientific article; zbMATH DE number 2169746 (Why is no real title available?)
• Carthaginian enlargement of filtrations
• Enlargement of filtrations with finance in view
• Enlargement of Filtration in Discrete Time
• Some Remarks on Enlargement of Filtration and Finance
• Enlargement of filtrations. Papers related to the workshops held in Paris, France, May 2--3, 2016 and Zurich, Switzerland, September 8--9, 2016
• Linking progressive and initial filtration expansions
• Conditioning and initial enlargement of filtration on a Riemannian manifold.

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