Publication: Filtrations
Filtrations
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Coculescu, D., & Nikeghbali, A. (2010). Filtrations. In R. Cont (Ed.), Encyclopedia of quantitative finance (pp. 683–686). John Wiley & Sons. https://doi.org/10.1002/9780470061602.eqf02011
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In this article, we define the notion of a filtration and the related notion of the usual hypotheses. We then explain the problem of enlargements of filtrations: how are (semi)martingales affected under a change of filtrations? We state the main theorems in the classical frameworks of initial and progressive enlargements of filtrations. In the case of initial enlargements of filtrations, we state the well known Jacod's condition and in the framework of progressive enlargements of filtrations, we give the decomposition of a local marti
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Coculescu, D., & Nikeghbali, A. (2010). Filtrations. In R. Cont (Ed.), Encyclopedia of quantitative finance (pp. 683–686). John Wiley & Sons. https://doi.org/10.1002/9780470061602.eqf02011