SEMIMARTINGALES AND SHRINKAGE OF FILTRATION

We consider a complete probability space (Ω, F, P), which is endowed with two filtrations, G and F, assumed to satisfy the usual conditions and such that F ⊂ G. On this probability space we consider a real valued G-semimartingale X. The purpose of this work is to study the following two problems: A....

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Veröffentlicht in:	The Annals of applied probability 2021-06, Vol.31 (3), p.1376-1402
Hauptverfasser:	Bielecki, Tomasz R., Jakubowski, Jacek, Jeanblanc, Monique, Niewęgłowski, Mariusz
Format:	Artikel
Sprache:	eng
Schlagworte:	Diffraction Filtration Finance Insurance Probability Stochastic models Stochastic processes
Online-Zugang:	Volltext
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