Immersion of strongly Brownian filtrations with honest time avoiding stopping times
DOI:
https://doi.org/10.5269/bspm.v35i3.28330Palabras clave:
Weakly and strongly Brownian filtrations, immersion, predictable representation property, progressive enlargement of filtrations, honest times.Resumen
In this paper, we give a partial answer to the following question: if $\mathbb{F}\hookrightarrow\mathbb{G}\hookrightarrow\mathbb{H}$ (where the symbol ($\hookrightarrow$) indicates the immersion property), $\mathbb{F}$ and $\mathbb{H}$ are two strongly Brownian filtrations, is $\mathbb{G}$ also a strongly Brownian filtration ?\\We prove that $\mathbb{G}$ is weakly Brownian in the case of progressive enlargement of $\mathbb{F}$ with an honest time $\tau$ that avoids all stopping times.Descargas
Publicado
2016-10-25
Número
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Research Articles
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The journal utilize the Creative Common Attribution (CC-BY 4.0).



