Grossissements de filtrations: exemples et applications. Séminaire de Calcul Stochastique 1982/83, Université Paris VI

DOI10.1007/BFB0075765zbMATH Open0547.00034OpenAlexW177735379MaRDI QIDQ798622FDOQ798622

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Publication date: 1985

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bfb0075765

Paris stochastic analysis Calcul stochastique Grossissements de filtrations Séminaire

Proceedings, conferences, collections, etc. pertaining to probability theory (60-06) Conference proceedings and collections of articles (00Bxx)

Cited In (52)

Hazard processes and martingale hazard processes
From the decompositions of a stopping time to risk premium decompositions
Ten penalisation results of Brownian motion involving its one-sided supremum until first and last passage times. VIII
`Analogies,' `interpretations,' `images,' `systems,' and `models': some remarks on the history of abstract representation in the sciences since the nineteenth century
Successive enlargement of filtrations and application to insider information
Conditioned stochastic differential equations: theory, examples and application to finance.
Unit-linked life insurance policies: optimal hedging in partially observable market models
BSDEs driven by Lévy process with enlarged filtration and applications in finance
Enlargements of filtrations and path decompositions at non stopping times
Constrained LQ problem with a random jump and application to portfolio selection
Conditioning and initial enlargement of filtration on a Riemannian manifold.
Pricing and valuation under the real-world measure
A two-sided stochastic integral and its calculus
The coding complexity of diffusion processes under supremum norm distortion
Optimal insider control and semimartingale decompositions under enlargement of filtration
Drift operator in a viable expansion of information flow
Multilevel Monte Carlo for Lévy-driven SDEs: central limit theorems for adaptive Euler schemes
Non-stopping times and stopping theorems
Some Remarks on Enlargement of Filtration and Finance
Progressive enlargement of filtrations and backward stochastic differential equations with jumps
Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management
Elementary embeddings and games in adapted probability logic
Default times, no-arbitrage conditions and changes of probability measures
Canonical decomposition of linear transformations of two independent Brownian motions motivated by models of insider trading
How badly are the Burkholder-Davis-Gundy inequalities affected by arbitrary random times?
Further results on some singular linear stochastic differential equations
The Shannon information of filtrations and the additional logarithmic utility of insiders
Backward stochastic differential equations with enlarged filtration: Option hedging of an insider trader in a financial market with jumps
A Cameron-Martin Type Quasi-Invariance Theorem for Pinned Brownian Motion on a Compact Riemannian Manifold
The Value of Insight
On breadth‐first constructions of scaling limits of random graphs and random unicellular maps
On the stochastic behaviour of optional processes up to random times
Diffusion Bridges for Stochastic Hamiltonian Systems and Shape Evolutions
PROGRESSIVE FILTRATION EXPANSIONS VIA A PROCESS, WITH APPLICATIONS TO INSIDER TRADING
On filtration enlargements and purely discontinuous martingales
Mean-variance hedging on uncertain time horizon in a market with a jump
Progressive enlargement of filtrations with initial times
Anticipative portfolio optimization under constraints and a higher interest rate for borrowing
A definition and some characteristic properties of pseudo-stopping times
Hitting times of interacting drifted Brownian motions and the vertex reinforced jump process
Absolutely continuous compensators
Martingales in Japan
A white noise approach to optimal insider control of systems with delay
Optimization of Utility for “Larger Investor” with Anticipation
Drawdowns and the speed of market crash
Insider Trading in Convergent Markets
Integration on loop groups. I: Quasi invariant measures
On the characterisation of honest times that avoid all stopping times
Hedging the Risk of Delayed Data in Defaultable Markets
MINIMAL VARIANCE HEDGING FOR INSIDER TRADING
Conditioning diffusions with respect to incomplete observations
Epidemics on critical random graphs with heavy-tailed degree distribution

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