2011/08/12 by Dario Gasbarra, Gasbarra, Dario, José Igor Morlanes +3
Economics, Econometrics and Finance · Mathematics · #Economic theories and models #FOS: Economics and business #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Stochastic processes and financial applications #Trading and Market Microstructure (q-fin.TR) #math.PR #q-fin.TR
paper · pdf · doi:10.48550/arxiv.1108.2623
openalex publication_date 2011/08/12 · arxiv created 2011/08/24 · arxiv updated 2011/08/25 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
Enlargement of filtrations is a classical topic in the general theory of stochastic processes. This theory has been applied to stochastic finance in order to analyze models with insider information. In this paper we study initial enlargement in a Markov chain market model, introduced by R. Norberg. In the enlargened filtration several things can happen: some of the jumps times can be accessible or predictable, but in the orginal filtration all the jumps times are totally inaccessible. But even if the jumps times change to accessible or predictable, the insider does not necessarily have arbitrage possibilities.