Martingale representations in progressive enlargement by the reference filtration of a semi-martingale: a note on the multidimensional case
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Publication:5086425
DOI10.1080/17442508.2018.1533015zbMath1492.60116arXiv1609.09701OpenAlexW3098658947MaRDI QIDQ5086425
Barbara Torti, Antonella Calzolari
Publication date: 5 July 2022
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1609.09701
enlargement of filtrationsemi-martingalescompleteness of a financial marketpredictable representations property
Generalizations of martingales (60G48) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Actuarial science and mathematical finance (91G99)
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