Initial Enlargement of Filtrations and Entropy of Poisson Compensators
نویسندگان
چکیده
منابع مشابه
Carthaginian Enlargement of Filtrations ∗ . †
In this work, we revisit some well-known results in the theory of initial and progressive enlargement of a reference filtration F with a random time τ , providing, under an equivalence assumption slightly stronger than the absolute continuity assumption of Jacod, alternative proofs to the already existing ones. We also characterize martingales in the enlarged filtrations in terms of martingales...
متن کاملDynamical Systems , Filtrations and Entropy
Introduction. I would like to try to pose some new directions in dynamical systems, at least in that part of the subject which deals with the qualitative behavior of the orbit structure of diffeomorphisms and flows of compact differentiable manifolds M without boundary. The birth of our first child, Alexander, to Beth and myself just two weeks before this talk has perhaps made me overly optimis...
متن کاملProgressive enlargement of filtrations and Backward SDEs with jumps
This work deals with backward stochastic differential equation (BSDE) with random marked jumps, and their applications to default risk. We show that these BSDEs are linked with Brownian BSDEs through the decomposition of processes with respect to the progressive enlargement of filtrations. We prove that the equations have solutions if the associated Brownian BSDEs have solutions. We also provid...
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ژورنال
عنوان ژورنال: Journal of Theoretical Probability
سال: 2010
ISSN: 0894-9840,1572-9230
DOI: 10.1007/s10959-010-0292-9