Expansion of a filtration with a stochastic process: the information drift

DOI10.3934/naco.2023016zbMath1515.60121arXiv1902.06780OpenAlexW2915832100MaRDI QIDQ6164100

Philip E. Protter, Léo Neufcourt

Publication date: 26 July 2023

Published in: Numerical Algebra, Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1902.06780

zbMATH Keywords

enlargement of filtrationsemimartingalesemimartingale decompositioninformation driftexpansion of filtration

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) General theory of stochastic processes (60G07) Financial applications of other theories (91G80)

Related Items

Some Remarks on Enlargement of Filtration and Finance

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