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

2011/08/22 by Doerte Kreher, Kreher, Doerte, Ashkan Nikeghbali +1 · 1 citation
Economics, Econometrics and Finance · Social Sciences · Decision Sciences · #Stochastic processes and financial applications #Insurance, Mortality, Demography, Risk Management #Probability and Risk Models

paper · pdf · doi:10.48550/arxiv.1108.4243

Abstract

In this note we introduce a new kind of augmentation of filtrations along a\nsequence of stopping times. This augmentation is suitable for the construction\nof new probability measures associated to a positive strict local martingale as\ndone in citesplit1, while it is on the other hand rich enough to make\nclassical results from stochastic analysis hold true on some stochastic\ninterval of interest.\n

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