Initial Enlargement

Aksamit, Anna; Jeanblanc, Monique

doi:10.1007/978-3-319-41255-9_4

Anna Aksamit¹³ &
Monique Jeanblanc¹⁴

Part of the book series: SpringerBriefs in Quantitative Finance ((BRIEFFINANCE))

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Abstract

We study the initial enlargement of a reference filtration \({\mathbb {F}}\) with a random variable \(\zeta \) with values in \([-\infty ,\infty ]\).

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Notes

1.
Under mild conditions on the semimartingale S and on the utility function U, this assumption is satisfied, see [161].

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Authors and Affiliations

School of Mathematics and Statistics, University of Sydney, Sydney, Australia
Anna Aksamit
Laboratorie de Mathématiques et Modélisation, Université d’Evry ValD’Essonne, Évry, France
Monique Jeanblanc

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Anna Aksamit
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Monique Jeanblanc
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Correspondence to Anna Aksamit .

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Aksamit, A., Jeanblanc, M. (2017). Initial Enlargement. In: Enlargement of Filtration with Finance in View. SpringerBriefs in Quantitative Finance. Springer, Cham. https://doi.org/10.1007/978-3-319-41255-9_4

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DOI: https://doi.org/10.1007/978-3-319-41255-9_4
Published: 19 November 2017
Publisher Name: Springer, Cham
Print ISBN: 978-3-319-41254-2
Online ISBN: 978-3-319-41255-9
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)

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