An introduction of the enlargement of filtration
arXiv:1510.05212
Abstract
It is a working version of a lecture on the theory of enlargement of filtration, given at the African Mathematic School in Marrakech, October 19-23, 2015.
arXiv admin note: substantial text overlap with arXiv:1302.2862, arXiv:1505.03766
References in corpus (7)
- Local solution method for the problem of enlargement of filtration
- The Existence of Dominating Local Martingale Measures
- Drift operator in a market affected by the expansion of information flow : a case study
- Optional splitting formula in a progressively enlarged filtration
- On progressive filtration expansion with a process
- Martingale representation processes and applications in the market viability with information flow expansion
- Martingale representation property in progressively enlarged filtrations