A Note on the Strong Predictable Representation Property and Enlargement of Filtration
The strong predictable representation property of semi-martingales and the notion of enlargement of filtration meet naturally in modeling financial markets, and theoretical problems arise. Here, first, we illustrate some of them through classical examples. Then, we review recent results obtained by...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2022-05-01
|
| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/10/10/1783 |