Drift operator in a viable expansion of information flow

2015/05/14 by Shiqi Song, Song, Shiqi · 1 citation
Economics, Econometrics and Finance · Mathematics · #Stochastic processes and financial applications #Economic theories and models #Markov Chains and Monte Carlo Methods

paper · pdf · doi:10.48550/arxiv.1505.03766

Abstract

A triplet (ℙ,\mathbbF,S) of a probability measure ℙ, of an information flow \mathbbF=(F_t)_t∈ℝ+, and of an \mathbbF adapted asset process S, is a financial market model, only if it is viable. In this paper we are concerned with the preservation of the market viability, when the information flow \mathbbF is replaced by a bigger one \mathbbG=(G_t)_{t≥ 0} with G_t\supsetF_t. Under the assumption of martingale representation property in (ℙ,\mathbbF), we prove a necessary and sufficient condition for all viable market in \mathbbF to remain viable in \mathbbG.

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