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Martingale representation in progressively enlarged Lévy filtrations
Stochastics ( IF 0.8 ) Pub Date : 2021-06-06 , DOI: 10.1080/17442508.2021.1935950
P. Di Tella 1 , H.-J. Engelbert 2
Affiliation  

In this paper, we obtain a martingale representation theorem in the progressive enlargement G by a random time τ of the filtration FL generated by a Lévy process. The assumptions on the random time are that FL is immersed in G and that τ avoids FL stopping times. We also study the multiplicity of a progressively enlarged filtration.



中文翻译:

逐渐扩大的 Lévy 过滤中的鞅表示

在本文中,我们得到了渐进放大中的鞅表示定理 G通过过滤的随机时间τF大号由 Lévy 过程生成。随机时间的假设是F大号 沉浸在 G并且τ避免F大号停车时间。我们还研究了逐渐扩大的过滤的多样性。

更新日期:2021-06-06
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