Metrics on the set of semimartingale filtrations
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Publication:5485915
DOI10.1080/17442500600675986zbMATH Open1098.60047OpenAlexW2163878687MaRDI QIDQ5485915FDOQ5485915
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
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
Generalizations of martingales (60G48) Stochastic processes (60G99) General theory of stochastic processes (60G07)
Cites Work
- The Shannon information of filtrations and the additional logarithmic utility of insiders
- Title not available (Why is that?)
- Title not available (Why is that?)
- Finite utility on financial markets with asymmetric information and structure properties of the price dynamics
- Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches
Cited In (5)
- Fundamental properties of process distances
- Continuity of filtrations of sigma algebras
- Drift operator in a viable expansion of information flow
- Filtrations for which all \({\mathcal H}^2\) martingales are of integrable variation; distances between \(\sigma\)-algebras
- On filtration enlargements and purely discontinuous martingales
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