Carthaginian enlargement of filtrations
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Publication:5408484
DOI10.1051/ps/2011162zbMath1296.60106arXiv1111.3073OpenAlexW2151528347MaRDI QIDQ5408484
Behnaz Zargari, Giorgia Callegaro, Monique Jeanblanc-Picqué
Publication date: 10 April 2014
Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1111.3073
change of probability measurepredictable representationcanonical decomposition of semimartingalesinitial and progressive enlargement of filtrations
Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)
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