Integral representations of martingales for progressive enlargements of filtrations-Reference-Cited by-同舟云学术

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Integral representations of martingales for progressive enlargements of filtrations

Published:2019-04 Issue:4 Volume:129 Page:1229-1258
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Aksamit Anna,Jeanblanc Monique,Rutkowski Marek^ORCID

Funder

Chaire Markets in Transition (Fédération Bancaire Française)

European Research Council

ILB, Labex

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference32 articles.

1. Arbitrages in a progressive enlargement setting;Aksamit,2014

2. A. Aksamit, T. Choulli, M. Jeanblanc, Thin times and random times’ decomposition. Preprint, 2016, arXiv:1605.03905.

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

4. Projections, pseudo-stopping times and the immersion property;Aksamit,2016

5. Quelques applications de la théorie générale des processus I;Azéma;Invent. Math.,1972

Cited by 4 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

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

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

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

4. Martingale representation in the enlargement of the filtration generated by a point process;Stochastic Processes and their Applications;2021-01

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