Abstract
The underlying set-up is as in Chapter 3: we need a complete probability space (Ω, F, ℙ), equipped with a filtration, i.e a nondecreasing family \(\mathbb{F} = {\left( {{F_t}} \right)_{t \geqslant 0}}\) of sub-σ-fields of F: F s ⊆ F t ⊆ F for 0 ≤ s < t < ∞. Here, F t represents the information available at time t, and the filtration \(\mathbb{F}\) represents the information flow evolving with time.
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© 2004 Springer-Verlag London
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Bingham, N.H., Kiesel, R. (2004). Stochastic Processes in Continuous Time. In: Risk-Neutral Valuation. Springer Finance. Springer, London. https://doi.org/10.1007/978-1-4471-3856-3_5
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DOI: https://doi.org/10.1007/978-1-4471-3856-3_5
Publisher Name: Springer, London
Print ISBN: 978-1-84996-873-7
Online ISBN: 978-1-4471-3856-3
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