Formes de Dirichlet sur un espace de Wiener-Poisson. Application au grossissement de filtration
Laurent Denis; Axel Grorud; Monique Pontier
Séminaire de probabilités de Strasbourg (2000)
- Volume: 34, page 198-217
Access Full Article
topHow to cite
topDenis, Laurent, Grorud, Axel, and Pontier, Monique. "Formes de Dirichlet sur un espace de Wiener-Poisson. Application au grossissement de filtration." Séminaire de probabilités de Strasbourg 34 (2000): 198-217. <http://eudml.org/doc/114037>.
@article{Denis2000,
author = {Denis, Laurent, Grorud, Axel, Pontier, Monique},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {enlargement of filtration; Dirichlet form; informed investor; Wiener-Poisson space},
language = {fre},
pages = {198-217},
publisher = {Springer - Lecture Notes in Mathematics},
title = {Formes de Dirichlet sur un espace de Wiener-Poisson. Application au grossissement de filtration},
url = {http://eudml.org/doc/114037},
volume = {34},
year = {2000},
}
TY - JOUR
AU - Denis, Laurent
AU - Grorud, Axel
AU - Pontier, Monique
TI - Formes de Dirichlet sur un espace de Wiener-Poisson. Application au grossissement de filtration
JO - Séminaire de probabilités de Strasbourg
PY - 2000
PB - Springer - Lecture Notes in Mathematics
VL - 34
SP - 198
EP - 217
LA - fre
KW - enlargement of filtration; Dirichlet form; informed investor; Wiener-Poisson space
UR - http://eudml.org/doc/114037
ER -
References
top- [1] I. Bardhan, X. Chao , "On martingale measures when asset returns have unpredictable jumps", Stoch. Proc. and their Applic.63, 1996, 35-54. Zbl0870.90016MR1411188
- [2] K. Bichteler, J-B. Gravereaux et J. Jacod, "Malliavin's Calculus for Processes with Jumps", Gordon and Breach Sc. Pub., New York1987. Zbl0706.60057MR1008471
- [3] N. Bouleau and F. Hirsch, "Dirichlet Forms and Analysis on Wiener Space", Walter de Gruyter, Berlin, 1991. Zbl0748.60046MR1133391
- [4] N. Bouleau, "Constructions of Dirichlet structures", dans Potential Theory-ICPT 94, Král/Lukes/Netuka/Vesel eds., Walter de Gruyter, 1996. Zbl0861.31003MR1404699
- [5] P. Bremaud, "Point Processes and Queues", Springer-Verlag, 1981. Zbl0478.60004MR636252
- [6] M. Chaleyat-Maurel et T. Jeulin, "Grossissement gaussien de la filtration brownienne", Séminaire de Calcul Stochastique 1982-83, Paris, Lecture Notes in Mathematics1118, 59-109, Springer-Verlag, 1985. Zbl0575.60046MR705695
- [7] H. Federer, "Geometric Measure Theory", Springer-Verlag, Berlin-Heidelberg-New-York, 1969. Zbl0176.00801MR257325
- [8] H. Follmer and P. Imkeller, "Anticipation cancelled by a Girsanov transformation : a paradox on Wiener space", Ann. Inst. Henri Poincaré, 29(4), 1993, 569-586. Zbl0796.60082MR1251141
- [9] M. Fukushima, Y. Oshima, M. Takeda "Dirichlet Forms and Symmetric Markov Processes", de Gruyter studies in Math., 1994. Zbl0838.31001MR1303354
- [10] A. Grorud et M. Pontier, "Comment détecter le délit d'initié ? " ,CRAS, t.324, Serie 1, p.1137-1142, 1997. Zbl0881.90040MR1451937
- [11] A. Grorud, M. Pontier, "Insider trading in a Continuous Time Market Model",I.J.T.A.F., vol. 1 (3), p. 315-330, July 1998. Zbl0909.90023
- [12] N. Ikeda, S. Watanabe "Stochastic Differential Equations and Diffusions Processes", Second Edition, North-Holland, Amsterdam-Oxford-New-York, 1989. Zbl0684.60040MR1011252
- [13] J. Jacod, " Calcul Stochastique et Problèmes de Martingales", Lecture Notes in Mathematics714, Springer-Verlag, 1979. Zbl0414.60053MR542115
- [14] J. Jacod, "Grossissement initial, Hypothèse H' et Théorème de Girsanov", Séminaire de Calcul Stochastique 1982-83, Paris, Lecture Notes in Mathematics1118, Springer-Verlag1985, 15-35. Zbl0568.60049MR883648
- [15] J. Jacod, A.N. Shiryaev, "Limit Theorems for Stochastic Processes", Springer-Verlag, 1987. Zbl0635.60021MR959133
- [16] M. Jeanblanc-Pique et M. Pontier, "Optimal Portfolio for a Small Investor in a Market Model with Discontinuous Prices" Economica22, Paris, 1994, 287-310. Zbl0715.90014MR1068184
- [17] T. Jeulin, "Semi-martingales et grossissement de filtration", Lecture Notes in Mathematics833, Springer-Verlag1980. Zbl0444.60002MR604176
- [18] D. Lepingle et J. Memin, "Sur l'intégrabilité uniforme des martingales exponentielles", Z. Wahrs. verw. Geb.42, 1978, 175-203. Zbl0375.60069MR489492
- [19] P. Malliavin, "Stochastic calculus of variations and hypoelliptic operators", Proceedings of the International Symposium on Stochastic Differential Equations, Kyoto, 1976, Kinokuniya-Wiley,1978,195-263. Zbl0411.60060
- [20] D. Nualart, "Analysis on Wiener space and anticipating stochastic calculus", Ecole de Probabilités de Saint-Flour, 1995. Zbl0915.60062
- [21] P. Protter, "Stochastic Integration and Diffential Equations", Springer-Verlag, 1990. Zbl0694.60047MR1037262
- [22] S. Song, "Grossissement de filtrations et problèmes connexes", thèse de doctorat de l'université de Paris VII, 29 Octobre 1987.
- [23] M. Yor, "Grossissement de filtrations et absolue continuité de noyaux", Séminaire de Calcul Stochastique 1982-83, Paris, Lecture Notes in Mathematics1118, 6-14, Springer-Verlag1985. Zbl0576.60038MR884713
- [24] M. Yor, "Some Aspects of Brownian Motion", vol. II, Birkhaüser, 1997. Zbl0880.60082MR1442263
NotesEmbed ?
topTo embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.