Enlargements of filtrations: initial and progressive enlargements

DOI10.1051/PROC/201756139zbMATH Open1427.60076OpenAlexW2753097232MaRDI QIDQ4606389FDOQ4606389

Authors: Marc Yor 

Publication date: 7 March 2018

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

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

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.

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)

Cites Work

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• Study of a filtration expanded to include an honest time
• Nouveaux résultats sur le grossissement des tribus
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (5)

• Conditioning and initial enlargement of filtration on a Riemannian manifold.
• Linking progressive and initial filtration expansions
• Carthaginian enlargement of filtrations
• Enlargement of Filtration in Discrete Time
• Title not available (Why is that?)

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