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Drift operator in a viable expansion of information flow

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  • Song, Shiqi

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.

Suggested Citation

  • Song, Shiqi, 2016. "Drift operator in a viable expansion of information flow," Stochastic Processes and their Applications, Elsevier, vol. 126(8), pages 2297-2322.
    • Handle: RePEc:eee:spapps:v:126:y:2016:i:8:p:2297-2322
    DOI: 10.1016/j.spa.2016.02.001
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    References listed on IDEAS

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    1. Shiqi Song, 2014. "Local martingale deflators for asset processes stopped at a default time $S^\tau$ or right before $S^{\tau-}$," Papers 1405.4474, arXiv.org, revised Jul 2016.
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    Cited by:

    1. Monique Jeanblanc & Libo Li & Shiqi Song, 2018. "An enlargement of filtration formula with applications to multiple non-ordered default times," Finance and Stochastics, Springer, vol. 22(1), pages 205-240, January.
    2. Constantinos Kardaras & Johannes Ruf, 2020. "Filtration shrinkage, the structure of deflators, and failure of market completeness," Finance and Stochastics, Springer, vol. 24(4), pages 871-901, October.
    3. Constantinos Kardaras & Johannes Ruf, 2019. "Filtration shrinkage, the structure of deflators, and failure of market completeness," Papers 1912.04652, arXiv.org, revised Aug 2020.

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