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math.PR2016
Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization
Beatrice Acciaio, Julio Backhoff Veraguas, Anastasiia Zalashko
The martingale part in the semimartingale decomposition of a Brownian motion with respect to an enlargement of its filtration, is an anticipative mapping of the given Brownian moti…
math.PR2014
Arbitrage of the first kind and filtration enlargements in semimartingale financial models
Beatrice Acciaio, Claudio Fontana, Constantinos Kardaras
In a general semimartingale financial model, we study the stability of the No Arbitrage of the First Kind (NA1) (or, equivalently, No Unbounded Profit with Bounded Risk) condition…