Semimartingales and shrinkage of filtration

DOI10.1214/20-AAP1621zbMath1479.60084arXiv1803.03700OpenAlexW3176248183MaRDI QIDQ2240853

Jacek Jakubowski, Mariusz Andrzej Niewȩgłowski, Tomasz R. Bielecki, Monique Jeanblanc-Picqué

Publication date: 4 November 2021

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1803.03700

zbMATH Keywords

semimartingaleoptional projectionspecial semimartingalesemimartingale characteristicsfiltration shrinkage

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Credit risk (91G40)

Related Items

Multivariate Hawkes processes with simultaneous occurrence of excitation events coming from different sources ⋮ Optional projection under equivalent local martingale measures ⋮ Projections of martingales in enlargements of Brownian filtrations under Jacod's equivalence hypothesis

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