This work is concerned with the theory of initial and progressive enlargements of a reference filtration F with a random time tau. We provide, under an equivalence assumption, slightly stronger than the absolute continuity assumption of Jacod, alternative proofs to results concerning canonical decomposition of an F-martingale in the enlarged filtrations. Also, we address martingales' characterization in the enlarged filtrations in terms of martingales in the reference filtration, as well as predictable representation theorems in the enlarged filtrations.

Carthaginian enlargement of filtrations

CALLEGARO, GIORGIA;
2013

Abstract

This work is concerned with the theory of initial and progressive enlargements of a reference filtration F with a random time tau. We provide, under an equivalence assumption, slightly stronger than the absolute continuity assumption of Jacod, alternative proofs to results concerning canonical decomposition of an F-martingale in the enlarged filtrations. Also, we address martingales' characterization in the enlarged filtrations in terms of martingales in the reference filtration, as well as predictable representation theorems in the enlarged filtrations.
File in questo prodotto:
File Dimensione Formato  
Final_published.pdf

accesso aperto

Descrizione: Paper pubblicato
Tipologia: Published (publisher's version)
Licenza: Accesso libero
Dimensione 280.7 kB
Formato Adobe PDF
280.7 kB Adobe PDF Visualizza/Apri
Pubblicazioni consigliate

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11577/2840223
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 28
  • ???jsp.display-item.citation.isi??? 24
social impact