Enlargement of Filtrations: An Exposition of Core Ideas with Financial Examples

arXiv2303.03573MaRDI QIDQ6428600FDOQ6428600

Authors: Karen Grigorian, Robert A. Jarrow 

Publication date: 6 March 2023

Abstract: In this paper we provide an exhaustive survey of the current state of the mathematics of filtration enlargement and an interpretation of the key results of the literature from the viewpoint of mathematical finance. The emphasis is on providing a well-structured compendium of known mathematical results that can be used by researchers in mathematical finance. We mainly state the results and discuss their role and significance, with references provided for the omitted proofs. The discussion of mathematical results is accompanied by numerous examples from mathematical finance.

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