Enlargement of Filtrations: An Exposition of Core Ideas with Financial Examples

Karen Grigorian and Robert Jarrow ()

Papers from arXiv.org

Abstract: In this paper we provide an exhaustive survey of the current state of the mathematics of filtration enlargement and an interpretation of the key results of the literature from the viewpoint of mathematical finance. The emphasis is on providing a well-structured compendium of known mathematical results that can be used by researchers in mathematical finance. We mainly state the results and discuss their role and significance, with references provided for the omitted proofs. The discussion of mathematical results is accompanied by numerous examples from mathematical finance.

Date: 2023-03
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2303.03573

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