Carthaginian enlargement of filtrations

DOI10.1051/PS/2011162zbMATH Open1296.60106arXiv1111.3073OpenAlexW2151528347MaRDI QIDQ5408484FDOQ5408484

Authors: Giorgia Callegaro, Behnaz Zargari, Monique Jeanblanc 

Publication date: 10 April 2014

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Abstract: This work is concerned with the theory of initial and progressive enlargements of a reference filtration F with a random time { au}. We provide, under an equivalence assumption, slightly stronger than the absolute continuity assumption of Jacod, alternative proofs to results concerning canonical decomposition of an F-martingale in the enlarged filtrations. Also, we address martingales' characterization in the enlarged filtrations in terms of martingales in the reference filtration, as well as predictable representation theorems in the enlarged filtrations.

Full work available at URL: https://arxiv.org/abs/1111.3073

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zbMATH Keywords

change of probability measurepredictable representationcanonical decomposition of semimartingalesinitial and progressive enlargement of filtrations

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

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