A new kind of augmentation of filtrations suitable for a change of probability measure by a strict local martingale

DOI10.1016/J.SPL.2015.05.008MaRDI QIDQ491703zbMATH OpenOpenAlexFDO

Authors Dörte Kreher, A. Nikeghbali

Publication date 19 August 2015

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1108.4243, https://www.zora.uzh.ch/id/eprint/111523/1/Split2.pdf

zbMATH Keywords

augmentation of filtrationsstopping timesstrict local martingales

Mathematics Subject Classification ID

Foundations of stochastic processes (60G05) General theory of stochastic processes (60G07) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)

Abstract: In this note we introduce a new kind of augmentation of filtrations along a sequence of stopping times. This augmentation is suitable for the construction of new probability measures associated to a positive strict local martingale as done in cite{split1}, while it is on the other hand rich enough to make classical results from stochastic analysis hold true on some stochastic interval of interest.

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Cites work

• Analysis of continuous strict local martingales via \(h\)-transforms
• Arbitrage possibilities in Bessel processes and their relations to local martingales
• scientific article; zbMATH DE number 3245885 (Why is no real title available?)
• On the hedging of options on exploding exchange rates
• Stochastic Integration with Jumps
• Strict local martingales and bubbles
• The exit measure of a supermartingale

Cited in

(4)

• Strict local martingales with jumps
• Strict local martingales and bubbles
• Strict local martingales via filtration enlargement
• Supermartingales as Radon-Nikodym densities and related measure extensions

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