Anticipation cancelled by a Girsanov transformation : a paradox on Wiener space

Hans Föllmer; Peter Imkeller

Annales de l'I.H.P. Probabilités et statistiques (1993)

  • Volume: 29, Issue: 4, page 569-586
  • ISSN: 0246-0203

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Föllmer, Hans, and Imkeller, Peter. "Anticipation cancelled by a Girsanov transformation : a paradox on Wiener space." Annales de l'I.H.P. Probabilités et statistiques 29.4 (1993): 569-586. <http://eudml.org/doc/77470>.

@article{Föllmer1993,
author = {Föllmer, Hans, Imkeller, Peter},
journal = {Annales de l'I.H.P. Probabilités et statistiques},
keywords = {enlargement of filtration; Wiener process; semimartingale; Wiener measure; Girsanov transformation},
language = {eng},
number = {4},
pages = {569-586},
publisher = {Gauthier-Villars},
title = {Anticipation cancelled by a Girsanov transformation : a paradox on Wiener space},
url = {http://eudml.org/doc/77470},
volume = {29},
year = {1993},
}

TY - JOUR
AU - Föllmer, Hans
AU - Imkeller, Peter
TI - Anticipation cancelled by a Girsanov transformation : a paradox on Wiener space
JO - Annales de l'I.H.P. Probabilités et statistiques
PY - 1993
PB - Gauthier-Villars
VL - 29
IS - 4
SP - 569
EP - 586
LA - eng
KW - enlargement of filtration; Wiener process; semimartingale; Wiener measure; Girsanov transformation
UR - http://eudml.org/doc/77470
ER -

References

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  1. [1] Azéma J., Jeulin T., Précisions sur la mesure de Föllmer, Ann. Inst. H. Poincaré, Vol. 12, 1976, pp. 257-283. Zbl0368.60060MR428425
  2. [2] Buckdahn R., Föllmer H., A Conditional Approach to the Anticipating Girsanov Transformation, Preprint, 1992, to appear in Probab. Th. Rel. Fields. Zbl0791.60038MR1213194
  3. [3] Föllmer H., On the Representation of Semimartingales, Ann. Probab., Vol. 1, 1973, pp. 580-589. Zbl0265.60044MR353446
  4. [4] Föllmer H., The exit measure of a supermartingale, Z. Wahrscheinlichkeitstheorie verw. Geb., Vol. 21, 1972, pp. 154-166. Zbl0231.60033MR309184
  5. [5] Jacod J., Calcul stochastique et problèmes de martingales, LNM, 714, Springer, Berlin, Heidelberg, New York, 1979. Zbl0414.60053MR542115
  6. [6] Jacod J., Grossissement initial, hypothèse (H') et théorème de Girsanov, in Grossissement de filtrations: exemples et applications, LNM, 1118, 15-35, Springer, Berlin, Heidelberg, New York, 1985. Zbl0568.60049
  7. [7] Jeulin Th., Semi-martingales et grossissement d'une filtration, LNM, 833, Springer, Berlin, Heidelberg, New York, 1980. Zbl0444.60002MR604176
  8. [8] Jeulin Th., Yor M. Eds., Grossissements de filtrations : exemples et applications, LNM, 1118, Springer, Berlin, Heidelberg, New York, 1985. Zbl0547.00034MR884713
  9. [9] Jeulin Th., Yor M., Filtration des ponts Browniens et équations différentielles stochastiques linéaires, Séminaire de Probabilités XXIV, LNM, 1426, pp. 227-265, Springer, Berlin, Heidelberg, New York, 1990. Zbl0699.60075MR1071543
  10. [10] Parthasarathy K.R., Probability Measures on Metric Spaces, Academic Press, New York, London, 1967. Zbl0153.19101MR226684
  11. [11] Rogers L.C.G., Williams D., Diffusions, Markov Processes and Martingales, Vol. 2, Itô calculus, John Wiley, New York, 1987. Zbl0627.60001MR921238
  12. [12] Song S., Grossissement de filtration et problèmes connexes, Thèse, Université Paris-VI, 1987. 
  13. [13] Stricker C., Yor M., Calcul stochastique dépendant d'un paramètre, Z. Wahrscheinlichkeitstheorie verw. Geb., Vol. 45, 1978, pp. 109-134. Zbl0388.60056MR510530

Citations in EuDML Documents

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  1. Laurent Denis, Axel Grorud, Monique Pontier, Formes de Dirichlet sur un espace de Wiener-Poisson. Application au grossissement de filtration
  2. Shigeyoshi Ogawa, Monique Pontier, Pricing rules under asymmetric information
  3. Joseph Najnudel, Ashkan Nikeghbali, A new kind of augmentation of filtrations
  4. Joseph Najnudel, Ashkan Nikeghbali, A new kind of augmentation of filtrations
  5. Giorgia Callegaro, Monique Jeanblanc, Behnaz Zargari, Carthaginian enlargement of filtrations

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