scientific article; zbMATH DE number 2169746

MaRDI QIDQ4677205zbMATH OpenFDO

Authors Dario Gasbarra, Esko Valkeila

Publication date 20 May 2005

zbMATH Keywords

enlargement of filtrationarithmetic mean measuredynamical Bayesian modelling

Mathematics Subject Classification ID

Bayesian inference (62F15) Inference from stochastic processes and prediction (62M20) Signal detection and filtering (aspects of stochastic processes) (60G35) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Recommendations

• Linking progressive and initial filtration expansions
• Enlargements of filtrations: initial and progressive enlargements
• Progressive enlargement of filtrations with initial times
• GIRSANOV TRANSFORMATION AND ITS APPLICATION TO THE THEORY OF ENLARGEMENT OF FILTRATIONS
• Enlargement of Filtrations and Continuous Girsanov-Type Embeddings

Cited in

(2)

• The Shannon information of filtrations and the additional logarithmic utility of insiders
• Initial enlargement of filtrations and entropy of Poisson compensators

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