Enlargement of Filtrations and Continuous Girsanov-Type Embeddings

DOI10.1007/978-3-540-71189-6_21zbMath1155.60017OpenAlexW804255MaRDI QIDQ5423764

Stefan Ankirchner, Steffen Dereich, Peter Imkeller

Publication date: 31 October 2007

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-71189-6_21

zbMATH Keywords

entropysemimartingalesShannon informationenlargement of filtrationsdecoupling measureGirsanov Theorem

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Measures of information, entropy (94A17)

Related Items (9)

The existence of dominating local martingale measures ⋮ Expansion of a filtration with a stochastic process: the information drift ⋮ Initial enlargement of filtrations and entropy of Poisson compensators ⋮ Default barrier intensity model for credit risk evaluation ⋮ Partial functional quantization and generalized bridges ⋮ The coding complexity of diffusion processes under supremum norm distortion ⋮ What happens after a default: the conditional density approach ⋮ Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization ⋮ Multilevel Monte Carlo for Lévy-driven SDEs: central limit theorems for adaptive Euler schemes

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