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

Doerte Kreher; Ashkan Nikeghbali

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arXiv · 1108.4243

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

Doerte Kreher·Ashkan Nikeghbali

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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 \cite{split1}, 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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BibTeX RIS

Doerte Kreher, Ashkan Nikeghbali. 2013-10-27. A new kind of augmentation of filtrations suitable for a change of probability measure by a strict local martingale. https://arxiv.org/abs/1108.4243

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