Semimartingales and Shrinkage of Filtration

Tomasz R. Bielecki, Jacek Jakubowski, Monique Jeanblanc +1

We consider a complete probability space $(\Omega ,\mathcal{F},\mathbb{P})$, which is endowed with two filtrations, $\mathbb{G}$ and $\mathbb{F}$, assumed to satisfy the usual conditions…