PROGRESSIVE FILTRATION EXPANSIONS VIA A PROCESS, WITH APPLICATIONS TO INSIDER TRADING
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Publication:5265242
DOI10.1142/S0219024915500272zbMath1344.60037arXiv1403.6323OpenAlexW1797420220MaRDI QIDQ5265242
Younes Kchia, Philip E. Protter
Publication date: 23 July 2015
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1403.6323
Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) General theory of stochastic processes (60G07) Financial applications of other theories (91G80)
Related Items (14)
Optimal investment and risk control for an insurer under inside information ⋮ Martingale representations in progressive enlargement by the reference filtration of a semi-martingale: a note on the multidimensional case ⋮ MARTINGALE REPRESENTATIONS IN PROGRESSIVE ENLARGEMENT BY MULTIVARIATE POINT PROCESSES ⋮ Bounds on the probability of radically different opinions ⋮ Some Remarks on Enlargement of Filtration and Finance ⋮ Expansion of a filtration with a stochastic process: the information drift ⋮ Progressive enlargements of filtrations with pseudo-honest times ⋮ Information uncertainty related to marked random times and optimal investment ⋮ On the existence of sure profits via flash strategies ⋮ Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization ⋮ Successive enlargement of filtrations and application to insider information ⋮ Stability results for martingale representations: The general case ⋮ THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS ⋮ Can Coherent Predictions be Contradictory?
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