منابع مشابه
Martingale representation property in progressively enlarged filtrations
Consider G the progressive enlargement of a filtration F with a random time τ . Assuming that, in F, the martingale representation property holds, we examine conditions under which the martingale representation property holds also in G. It is noted that the classical results on this subject are no more sufficient to deal with all examples coming from credit risk modeling. In this paper, we intr...
متن کاملConstruction of Brownian Motions in Enlarged Filtrations and Their Role in Mathematical Models of Insider Trading
In this thesis, we study Gaussian processes generated by certain linear transformations of two Gaussian martingales. This class of transformations is motivated by nancial equilibrium models with heterogeneous information. In Chapter 2 we derive the canonical decomposition of such processes, which are constructed in an enlarged ltration, as semimartingales in their own ltration. The resulting dr...
متن کاملSlope filtrations for relative Frobenius
The slope filtration theorem gives a partial analogue of the eigenspace decomposition of a linear transformation, for a Frobenius-semilinear endomorphism of a finite free module over the Robba ring (the ring of germs of rigid analytic functions on an unspecified open annulus of outer radius 1) over a discretely valued field. In this paper, we give a third-generation proof of this theorem, which...
متن کاملDiscrete Morse Theory for Filtrations
Acknowledgements Enumerating all the ways in which I am grateful to Konstantin would essentially double the length of this document, so I'll save all that stuff for my autobiography. But I will note here that he was simultaneously patient, engaged, proactive, and – best of all – ruthlessly determined to refine and sculpt all our vague big-picture ideas into digestible and implementable concrete...
متن کاملBriançon-skoda for Noetherian Filtrations
In this note the Briançon-Skoda theorem is extended to Noetherian filtrations of ideals in a regular ring. The method of proof couples the Lipman-Sathaye approach with results due to Rees. Let A be a regular ring of dimension d and I an ideal of A. Let I denote the integral closure of I. The Briançon-Skoda theorem asserts that if I is generated by l elements then In+l ⊆ I, for all nonnegative i...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 1987
ISSN: 0304-4149
DOI: 10.1016/0304-4149(87)90031-7