Enlargement of Filtrations and Continuous Girsanov-Type Embeddings

DOI10.1007/978-3-540-71189-6_21MaRDI QIDQ5423764zbMATH OpenOpenAlexFDO

Authors Stefan Ankirchner, Steffen Dereich, P. 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

decoupling measureenlargement of filtrationsentropyGirsanov TheoremsemimartingalesShannon information

Mathematics Subject Classification ID

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

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