Projections of martingales in enlargements of Brownian filtrations under Jacod's equivalence hypothesis
DOI10.1214/21-EJP694zbMath1497.60066OpenAlexW3198349192MaRDI QIDQ2076599
Dongli Wu, Monique Jeanblanc-Picqué, Pavel V. Gapeev
Publication date: 22 February 2022
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/21-ejp694
Brownian motionconditional probability densitychanges of probability measuresinitial and progressive enlargements of filtrationsJacod's equivalence hypothesispredictable (martingale) representation property
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Signal detection and filtering (aspects of stochastic processes) (60G35) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Credit risk (91G40)
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