Abstract
Given a pair of filtrations \({\mathbb {F}}\) and \({\mathbb {G}}\) such that \({\mathbb {F}}\subset {\mathbb {G}}\), we study the particular case when all \({\mathbb {F}}\)-martingales are \({\mathbb {G}}\)-martingales. This property is known as immersion or hypothesis \(\mathscr {H}\) between \({\mathbb {F}}\) and \({\mathbb {G}}\).
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Aksamit, A., Jeanblanc, M. (2017). Immersion. In: Enlargement of Filtration with Finance in View. SpringerBriefs in Quantitative Finance. Springer, Cham. https://doi.org/10.1007/978-3-319-41255-9_3
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DOI: https://doi.org/10.1007/978-3-319-41255-9_3
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Publisher Name: Springer, Cham
Print ISBN: 978-3-319-41254-2
Online ISBN: 978-3-319-41255-9
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