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.
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 |