Initial enlargement of filtrations and entropy of Poisson compensators

DOI10.1007/s10959-010-0292-9zbMath1266.60078OpenAlexW2047297517MaRDI QIDQ633140

Stefan Ankirchner, Jakub Zwierz

Publication date: 31 March 2011

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10959-010-0292-9

zbMATH Keywords

embeddingmutual informationsemimartingalePoisson random measureinitial enlargement of filtration

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Martingales with continuous parameter (60G44) Measures of information, entropy (94A17)

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Cites Work

• Random times and enlargements of filtrations in a Brownian setting.
• On filtration enlargements and purely discontinuous martingales
• Semi-martingales et grossissement d'une filtration
• The Shannon information of filtrations and the additional logarithmic utility of insiders
• Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches
• Enlargement of Filtrations and Continuous Girsanov-Type Embeddings
• Enlargement of Filtration and Additional Information in Pricing Models: Bayesian Approach
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