Metrics on the set of semimartingale filtrations

DOI10.1080/17442500600675986MaRDI QIDQ5485915zbMATH OpenOpenAlexFDO

Authors Stefan Ankirchner

Publication date 4 September 2006

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442500600675986

zbMATH Keywords

complete metricinformation drift

Mathematics Subject Classification ID

General theory of stochastic processes (60G07) Generalizations of martingales (60G48) Stochastic processes (60G99)

Recommendations

• Filtrations for which all \({\mathcal H}^2\) martingales are of integrable variation; distances between \(\sigma\)-algebras
• On the variation distance for probability measures defined on a filtered space
• Stability of stochastic integrals under change of filtration
• scientific article; zbMATH DE number 1619467
• Fundamental properties of process distances

Cites work

• Finite utility on financial markets with asymmetric information and structure properties of the price dynamics
• scientific article; zbMATH DE number 5819433 (Why is no real title available?)
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches
• The Shannon information of filtrations and the additional logarithmic utility of insiders

Cited in

(5)

• Continuity of filtrations of sigma algebras
• Fundamental properties of process distances
• Filtrations for which all \({\mathcal H}^2\) martingales are of integrable variation; distances between \(\sigma\)-algebras
• Drift operator in a viable expansion of information flow
• On filtration enlargements and purely discontinuous martingales

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