Drift operator in a viable expansion of information flow

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:126

Article

Song, Shiqi¹ 

[1] Univ Evry Val DEssonne, Lab Anal & Probabil, Evry, France

关键词: Enlargement of filtrations;    Hypothesis(H ');    Drift operator;    Martingale representation property;    Conditional multiplicity;    Market viability;    Structure condition;    Local martingale deflator;    No-arbitrage of first kind;   

DOI  :  10.1016/j.spa.2016.02.001

来源: Elsevier

【 摘 要 】

A triplet (P, F, S) of a probability measure F, of an information flow F = (F-t)(t is an element of R+) and of an F adapted asset process S, is a financial market model, only if it is viable. In this paper we are concerned with the preservation of the market viability, when the information flow IF is replaced by a bigger one G = (g(t))(t >= 0) with g(t) superset of F-t. Under the assumption of martingale representation property in (P, F), we prove a necessary and sufficient condition for all viable market in F remains viable in G. (C) 2016 Elsevier B.V. All rights reserved.

【 授权许可】

Free