Drift operator in a viable expansion of information flow

Shiqi Song

Stochastic Processes and their Applications, 2016, vol. 126, issue 8, 2297-2322

Abstract: A triplet (P,F,S) of a probability measure P, of an information flow F=(Ft)t∈R+, and of an F adapted asset process S, is a financial market model, only if it is viable. In this paper we are concerned with the preservation of the market viability, when the information flow F is replaced by a bigger one G=(Gt)t≥0 with Gt⊃Ft. Under the assumption of martingale representation property in (P,F), we prove a necessary and sufficient condition for all viable market in F remains viable in G.

Keywords: Enlargement of filtrations; Hypothesis(H′); Drift operator; Martingale representation property; Conditional multiplicity; Market viability; Structure condition; Local martingale deflator; No-arbitrage of first kind (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:126:y:2016:i:8:p:2297-2322

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DOI: 10.1016/j.spa.2016.02.001

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