Carthaginian enlargement of filtrations

DOI10.1051/PS/2011162MaRDI QIDQ5408484zbMATH OpenOpenAlexFDO

Authors Giorgia Callegaro, Behnaz Zargari, Monique Jeanblanc

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

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)

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.

Recommendations

• Progressive enlargement of filtrations with initial times
• Enlargement of Filtration in Discrete Time
• Linking progressive and initial filtration expansions
• Projections of martingales in enlargements of Brownian filtrations under Jacod's equivalence hypothesis
• Enlargements of filtrations: initial and progressive enlargements

Cited in

(27)

• On the propagation of the weak representation property in independently enlarged filtrations: the general case
• The strong predictable representation property in initially enlarged filtrations under the density hypothesis
• The dynamic spread of the forward CDS with general random loss
• An example of martingale representation in progressive enlargement by an accessible random time
• Dynkin game with asymmetric information
• Enlargements of filtrations and path decompositions at non stopping times
• Drift operator in a viable expansion of information flow
• Risk measures and progressive enlargement of filtration: a BSDE approach
• Linking progressive and initial filtration expansions
• Martingale representation property in progressively enlarged filtrations
• Optimal consumption problems in discontinuous markets
• Martingale representation in progressively enlarged Lévy filtrations
• Information, no-arbitrage and completeness for asset price models with a change point
• Some Remarks on Enlargement of Filtration and Finance
• FIRST-TO-DEFAULT AND SECOND-TO-DEFAULT OPTIONS IN MODELS WITH VARIOUS INFORMATION FLOWS
• Utility maximization under risk constraints and incomplete information for a market with a change point
• Optimal investment in markets with over and under-reaction to information
• Martingale representations in progressive enlargement by the reference filtration of a semi-martingale: a note on the multidimensional case
• Reduced-form setting under model uncertainty with non-linear affine intensities
• Role of information in pricing default-sensitive contingent claims
• Dynamics of multivariate default system in random environment
• Utility maximisation and utility indifference price for exponential semi-martingale models and HARA utilities
• An enlargement of filtration formula with applications to multiple non-ordered default times
• Information uncertainty related to marked random times and optimal investment
• Credit default swaps in two-dimensional models with various informations flows
• Projections of martingales in enlargements of Brownian filtrations under Jacod's equivalence hypothesis
• Integral representations of martingales for progressive enlargements of filtrations

This page was built for publication: Carthaginian enlargement of filtrations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5408484)