On filtration enlargements and purely discontinuous martingales

DOI10.1016/j.spa.2007.10.007zbMath1157.60038OpenAlexW2124206433MaRDI QIDQ947156

Stefan Ankirchner

Publication date: 29 September 2008

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2007.10.007

zbMATH Keywords

Doob-Meyer decompositionsemimartingalePoisson random measureenlargement of filtrationspurely discontinuous martingalepredictable representation

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic calculus of variations and the Malliavin calculus (60H07) Random measures (60G57)

Related Items (5)

INITIAL ENLARGEMENT IN A MARKOV CHAIN MARKET MODEL ⋮ A white noise approach to optimal insider control of systems with delay ⋮ Statistical causality and purely discontinuous local martingales ⋮ Initial enlargement of filtrations and entropy of Poisson compensators ⋮ Optimal insider control and semimartingale decompositions under enlargement of filtration

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