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Enlargement of filtrations and continuous Girsanov type embedding

Please always quote using this URN:urn:nbn:de:0296-matheon-2014
  • Let (Gt) be an enlargement of the filtration (Ft). Jeulin and Jacod discussed a sufficient criterion for the inheritance of the semimartingale property when passing to the larger filtration. We provide alternative proofs of their results in a more general setting by using decoupling measures and Girsanov's changes of measure. We derive necessary and sufficient conditions for the embedding of vector spaces of (Ft)-semimartingales into spaces of (Gt)-semimartingales to be continuous in terms of generalized entropies of the information increment.

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Metadaten
Author:Stefan Ankirchner, Steffen Dereich, Peter Imkeller
URN:urn:nbn:de:0296-matheon-2014
Referee:Anton Bovier
Document Type:Preprint, Research Center Matheon
Language:English
Date of first Publication:2005/10/01
Release Date:2005/04/01
Preprint Number:189
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