 Change of measure up to a random time: DetailsDörte Kreher Stochastic Processes and their Applications, 2017, vol. 127, issue 5, 1565-1598 Abstract: This paper extends results of Mortimer and Williams (1991) about changes of probability measure up to a random time under the assumptions that all martingales are continuous and that the random time avoids stopping times. We consider locally absolutely continuous measure changes up to a random time, changes of probability measure up to and after an honest time, and changes of probability measure up to a pseudo-stopping time. Moreover, we apply our results to construct a change of probability measure that is equivalent to the enlargement formula and to build, for a certain class of pseudo-stopping times, a class of measure changes that preserve the pseudo-stopping time property. Furthermore, we study for a price process modeled by a continuous semimartingale the stability of the No Free Lunch with Vanishing Risk (NFLVR) property up to a random time, that avoids stopping times, in the progressively enlarged filtration and provide sufficient conditions for this stability in terms of the Azéma supermartingale. Keywords: Random times; Change of measure; Progressive enlargement of filtrations; NFLVR (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:127:y:2017:i:5:p:1565-1598 Ordering information: This journal article can be ordered from DOI: 10.1016/j.spa.2016.09.001 Access Statistics for this article Stochastic Processes and their Applications is currently edited by T. Mikosch More articles in Stochastic Processes and their Applications from Elsevier |
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