A new kind of augmentation of filtrations suitable for a change of probability measure by a strict local martingale
Abstract
In this note we introduce a new kind of augmentation of filtrations along a sequence of stopping times. This augmentation is suitable for the construction of new probability measures associated to a positive strict local martingale as done in split1, while it is on the other hand rich enough to make classical results from stochastic analysis hold true on some stochastic interval of interest.
0
Turn this paper into a lesson
ArcXiv compiles a structured reading guide from this paper's metadata: plain-English importance, contributions, prerequisite concepts, which sections to read first, flashcards, and a quiz. Grounded in the abstract, never invented.