Martingale representation in the enlargement of the filtration generated by a point process-Reference-Cited by-同舟云学术

Martingale representation in the enlargement of the filtration generated by a point process

Published:2021-01 Issue: Volume:131 Page:103-121
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Di Tella Paolo,Jeanblanc Monique

Funder

German Research Foundation

French Banking Federation and ILB, Labex, France

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference22 articles.

1. Thin times and random times’ decomposition;Aksamit,2018

2. Enlargement of Filtration with Finance in View;Aksamit,2017

3. Predictable representation property for progressive enlargements of a Poisson filtration;Aksamit;Stochastic Process. Appl.,2019

4. Study of filtration expanded to include an honest time;Barlow;Z. Wahrscheinlichkeitstheor. Verwandte Geb.,1978

5. A. Calzolari, B. Torti, Martingale representations in progressive enlargement setting: the role of the accessible jump times. ArXiv preprint ( arXiv:1708.05858).

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1. On the compensator of step processes in progressively enlarged filtrations and related control problems;Latin American Journal of Probability and Mathematical Statistics;2024

2. Some Remarks on Enlargement of Filtration and Finance;Lecture Notes in Mathematics;2022-08-03

3. A Note on the Strong Predictable Representation Property and Enlargement of Filtration;Mathematics;2022-05-23

4. MARTINGALE REPRESENTATIONS IN PROGRESSIVE ENLARGEMENT BY MULTIVARIATE POINT PROCESSES;International Journal of Theoretical and Applied Finance;2022-05