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Representation for martingales living after a random time with applications - MaRDI portal

Representation for martingales living after a random time with applications (Q6134135)

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scientific article; zbMATH DE number 7716479
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Representation for martingales living after a random time with applications
scientific article; zbMATH DE number 7716479

    Statements

    title
    Representation for martingales living after a random time with applications (English)
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    author
    Tahir Choulli
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    Ferdoos Alharbi
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    publication date
    25 July 2023
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    zbMATH Keywords
    honest/random time
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    progressively enlarged filtration
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    optional martingale representation
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    informational risk decomposition
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    deflators
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    cites work
    Q4279453
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    Q4086511
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    Q3915688
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    Q4778955
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    Identifiers

    arXiv ID
    2203.11072
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    zbMATH DE Number
    7716479
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    OpenAlex ID
    W4362652837
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    DOI
    10.3934/FMF.2023013
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