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arXiv · 2210.07045

Enlargement of Filtrations -- A Primer

Peter Ouwehand
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Abstract

In stochastic analysis, the flow of information through time is typically modelled using a filtration. We introduce some of the basic ideas involving enlargements of filtration. Here, we focus mainly on initial enlargements, where a given filtration is enlarged with knowledge of an additional random variable. This has applications to the modelling of insider trading in mathematical finance.

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Peter Ouwehand. 2022-10-13. Enlargement of Filtrations -- A Primer. https://arxiv.org/abs/2210.07045

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