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A new kind of augmentation of filtrations suitable for a change of probability measure by a strict local martingale


Kreher, Dörte; Nikeghbali, Ashkan (2015). A new kind of augmentation of filtrations suitable for a change of probability measure by a strict local martingale. Statistics and Probability Letters, 104:94-101.

Abstract

In this note we introduce a new kind of augmentation of filtrations along a sequence of stopping times. This augmentation is suitable for the construction of new probability measures associated to a positive strict local martingale as done in Kardaras et al. (2015), while it is on the other hand rich enough to make classical results from stochastic analysis hold true on some stochastic interval of interest.

Abstract

In this note we introduce a new kind of augmentation of filtrations along a sequence of stopping times. This augmentation is suitable for the construction of new probability measures associated to a positive strict local martingale as done in Kardaras et al. (2015), while it is on the other hand rich enough to make classical results from stochastic analysis hold true on some stochastic interval of interest.

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Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:07 Faculty of Science > Institute of Mathematics
Dewey Decimal Classification:510 Mathematics
Language:English
Date:1 September 2015
Deposited On:14 Jan 2016 12:11
Last Modified:02 Sep 2016 00:00
Publisher:Elsevier
ISSN:0167-7152
Publisher DOI:https://doi.org/10.1016/j.spl.2015.05.008

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