Enlargement of filtrations and continuous Girsanov-type embeddings

@inproceedings{Ankirchner2005EnlargementOF,
  title={Enlargement of filtrations and continuous Girsanov-type embeddings},
  author={Stefan Ankirchner and Steffen Dereich and Peter Imkeller},
  year={2005}
}
Let (Gt) be an enlargement of the filtration (Ft). Jeulin and Jacod discussed a sufficient criterion for the inheritance of the semimartingale property when passing to the larger filtration. We provide alternative proofs of their results in a more general setting by using decoupling measures and Girsanov’s changes of measure. We derive necessary and sufficient conditions for the embedding of vector spaces of (Ft)-semimartingales into spaces of (Gt)-semimartingales to be continuous in terms of… CONTINUE READING

From This Paper

Topics from this paper.

References

Publications referenced by this paper.
Showing 1-10 of 10 references

Entropie d’une partition, et grossissement initial d’une filtration

M. Yor
Grossissements de filtrations: exemples et applications, • 1985
View 5 Excerpts
Highly Influenced

Convex statistical distances, volume 95 of TeubnerTexte zur Mathematik [Teubner Texts in Mathematics

F. Liese, I. Vajda
BSB B. G. Teubner Verlagsgesellschaft, Leipzig, • 1987

Grossissement de filtration et théorème de girsanov généralisé

C. Yoeurp
Grossissements de filtrations: exemples et applications. Springer-Verlag, • 1985

Grossissement initial, hypothese (H’), et théorème de Girsanov

J. Jacod
Grossissements de filtrations: exemples et applications, • 1985

Grossissements de filtrations: exemples et applications, volume 1118 of Lecture Notes in Mathematics

Th. Jeulin, M. Yor, editors
SpringerVerlag, Berlin, • 1985

Calcul stochastique et problèmes de martingales, volume 714 of Lecture Notes in Mathematics

J. Jacod
1979

Calcul stochastique dépendant d’un paramètre

C. Stricker, M. Yor
Z. Wahrsch. Verw. Gebiete, • 1978

Similar Papers

Loading similar papers…