Enlargement of Filtration in Discrete Time

DOI10.1007/978-981-15-1576-7_2zbMath1453.60097OpenAlexW2233601234MaRDI QIDQ5132612

Christophette Blanchet-Scalliet, Monique Jeanblanc-Picqué

Publication date: 12 November 2020

Published in: Mathematical Lectures from Peking University (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-981-15-1576-7_2

zbMATH Keywords

discrete timeenlargement of filtrationprogressive enlargementDoob decompositionhonest timespseudo-stopping timesAzéma's supermartingaleinitial enlargement

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)

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