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math.PR2015
Integral representations of martingales for progressive enlargements of filtrations
Anna Aksamit, Monique Jeanblanc, Marek Rutkowski
We work in the setting of the progressive enlargement of a reference filtration through the observation of a random time . We study an integral represent…
q-fin.MF2015★ 1 cited
Non-Arbitrage Under Additional Information for Thin Semimartingale Models
Anna Aksamit, Tahir Choulli, Jun Deng +1
This paper completes the two studies undertaken in \cite{aksamit/choulli/deng/jeanblanc2} and \cite{aksamit/choulli/deng/jeanblanc3}, where the authors quantify the impact of a ran…