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math.PR2014
Projections, Pseudo-Stopping Times and the Immersion Property
Anna Aksamit, Libo Li
Given two filtrations , we study under which conditions the -optional projection and the -dual optional projection coincide for t…
math.PR2014
An enlargement of filtration formula with application to progressive enlargement with multiple random times
Monique Jeanblanc, Libo Li, Shiqi Song
Given a reference filtration , we develop in this work a generic method for computing the semimartingale decomposition of -martingales in some specific enla…