Martingale representation processes and applications in the market viability under information flow expansion

DOI10.1051/proc/201756111zbMath1383.60036arXiv1505.00560OpenAlexW2963823878MaRDI QIDQ4606387

Shiqi Song

Publication date: 7 March 2018

Published in: ESAIM: Proceedings and Surveys (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1505.00560

zbMATH Keywords

martingale representation propertydrift multiplier assumptionmarket information flow

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Financial applications of other theories (91G80)

Related Items

Martingale representations in progressive enlargement by the reference filtration of a semi-martingale: a note on the multidimensional case, Filtration shrinkage, the structure of deflators, and failure of market completeness

Cites Work

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• The numéraire portfolio in semimartingale financial models
• Insider Trading in a Continuous Time Market Model
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