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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| 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 |
