Enlargements of filtrations and applications

J. M. Corcuera; A. Vadivia

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arXiv · 1201.5870

Enlargements of filtrations and applications

J. M. Corcuera·A. Vadivia

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Abstract

In this paper we review some old and new results about the enlargement of filtrations problem, as well as their applications to credit risk and insider trading problems. The enlargement of filtrations problem consists in the study of conditions under which a semimartingale remains a semimartingale when the filtration is enlarged, and, in such a case, how to find the Doob-Meyer decomposition. Filtrations may be enlarged in different ways. In this paper we consider initial and progressive filtration enlargements made by random variables and processes. Keywords: Credit Risk, Insider Trading, Enlargement of Filtrations

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J. M. Corcuera, A. Vadivia. 2012-01-27. Enlargements of filtrations and applications. https://arxiv.org/abs/1201.5870

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