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Carthaginian enlargement of filtrations

Articolo
Data di Pubblicazione:
2013
Abstract:
This work is concerned with the theory of initial and progressive enlargements of a reference filtration F with a random time tau. We provide, under an equivalence assumption, slightly stronger than the absolute continuity assumption of Jacod, alternative proofs to results concerning canonical decomposition of an F-martingale in the enlarged filtrations. Also, we address martingales' characterization in the enlarged filtrations in terms of martingales in the reference filtration, as well as predictable representation theorems in the enlarged filtrations.
Tipologia CRIS:
01.01 - Articolo in rivista
Elenco autori:
Callegaro, Giorgia; M., Jeanblanc; B., Zargari
Autori di Ateneo:
CALLEGARO GIORGIA
Link alla scheda completa:
https://www.research.unipd.it/handle/11577/2840223
Link al Full Text:
https://www.research.unipd.it//retrieve/handle/11577/2840223/130144/Final_published.pdf
Pubblicato in:
ESAIM: PROBABILITY AND STATISTICS
Journal
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