Metrics on the set of semimartingale filtrations

DOI10.1080/17442500600675986zbMath1098.60047OpenAlexW2163878687MaRDI QIDQ5485915

Stefan Ankirchner

Publication date: 4 September 2006

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500600675986

zbMATH Keywords

complete metricinformation drift

Mathematics Subject Classification ID

Generalizations of martingales (60G48) General theory of stochastic processes (60G07) Stochastic processes (60G99)

Related Items (2)

Drift operator in a viable expansion of information flow ⋮ On filtration enlargements and purely discontinuous martingales

Cites Work

• Unnamed Item
• Unnamed Item
• Finite utility on financial markets with asymmetric information and structure properties of the price dynamics
• The Shannon information of filtrations and the additional logarithmic utility of insiders
• Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches

This page was built for publication: Metrics on the set of semimartingale filtrations