Change of measure up to a random time: details
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Abstract: This paper extends results of Mortimer and Williams (1991) about changes of probability measure up to a random time under the assumptions that all martingales are continuous and that the random time avoids stopping times. We consider locally absolutely continuous measure changes up to a random time, changes of probability measure up to and after an honest time, and changes of probability measure up to a pseudo-stopping time. Moreover, we apply our results to construct a change of probability measure that is equivalent to the enlargement formula and to build for a certain class of pseudo-stopping times a class of measure changes that preserve the pseudo-stopping time property. Furthermore, we study for a price process modeled by a continuous semimartingale the stability of the No Free Lunch with Vanishing Risk (NFLVR) property up to a random time, that avoids stopping times, in the progressively enlarged filtration and provide sufficient conditions for this stability in terms of the Az'ema supermartingale.
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Cites work
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- A definition and some characteristic properties of pseudo-stopping times
- A general version of the fundamental theorem of asset pricing
- A ‘NON-STOPPING’ TIME WITH THE OPTIONAL-STOPPING PROPERTY
- Arbitrage of the first kind and filtration enlargements in semimartingale financial models
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- Change of measure up to a random time: theory
- Default times, no-arbitrage conditions and changes of probability measures
- Doob's maximal identity, multiplicative decompositions and enlargements of filtrations
- Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing
- Martingale representation property in progressively enlarged filtrations
- Mathematical methods for financial markets.
- No-arbitrage up to random horizon for quasi-left-continuous models
- On arbitrages arising with honest times
- On the semimartingale property of discounted asset-price processes
- Quelques applications de la théorie générale des processus. I
- Repr�sentation multiplicative d'une surmartingale born�e
- Semi-martingales et grossissement d'une filtration
- Study of a filtration expanded to include an honest time
- Transformation of Markov processes by multiplicative functionals
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