Drift operator in a viable expansion of information flow
From MaRDI portal
Publication:288832
DOI10.1016/j.spa.2016.02.001zbMath1344.60038arXiv1505.03766OpenAlexW2964116726MaRDI QIDQ288832
Publication date: 27 May 2016
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1505.03766
martingale representation propertyinformation flowconditional multiplicitydrift operatorfiltration enlargementlocal martingale deflatormarket viability
Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) General theory of stochastic processes (60G07) Financial applications of other theories (91G80)
Related Items
An Example of Martingale Representation in Progressive Enlargement by an Accessible Random Time ⋮ An enlargement of filtration formula with applications to multiple non-ordered default times ⋮ Martingale representation processes and applications in the market viability under information flow expansion ⋮ Filtration shrinkage, the structure of deflators, and failure of market completeness
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Arbitrage of the first kind and filtration enlargements in semimartingale financial models
- On arbitrages arising with honest times
- A note on the condition of no unbounded profit with bounded risk
- Martingale representation property in progressively enlarged filtrations
- Random times with given survival probability and their \(\mathbb F\)-martingale decomposition formula
- Calcul stochastique et problèmes de martingales
- Market viability via absence of arbitrage of the first kind
- On the semimartingale property of discounted asset-price processes
- Grossissements de filtrations: exemples et applications. Séminaire de Calcul Stochastique 1982/83, Université Paris VI
- Random times and enlargements of filtrations in a Brownian setting.
- Mathematical methods for financial markets.
- The existence of dominating local martingale measures
- How non-arbitrage, viability and numéraire portfolio are related
- Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management
- Martingales and arbitrage in multiperiod securities markets
- Semi-martingales et grossissement d'une filtration
- Martingale densities for general asset prices
- \(\mathcal E\)-martingales and their applications in mathematical finance
- Local martingales, arbitrage, and viability. Free snacks and cheap thrills
- Numéraire-invariant preferences in financial modeling
- Progressive enlargement of filtrations with initial times
- No-arbitrage up to random horizon for quasi-left-continuous models
- The numéraire portfolio in semimartingale financial models
- The Shannon information of filtrations and the additional logarithmic utility of insiders
- Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing
- Dynamic One-default Model
- Study of a filtration expanded to include an honest time
- On the minimal martingale measure and the möllmer-schweizer decomposition
- Carthaginian enlargement of filtrations
- Metrics on the set of semimartingale filtrations
