A new kind of augmentation of filtrations
Joseph Najnudel, Ashkan Nikeghbali (2011)
ESAIM: Probability and Statistics
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Let (Ω, , (), ) be a filtered probability space satisfying the usual assumptions: it is usually not possible to extend to (the-algebra generated by ()) a coherent family of probability measures () indexed by , each of them being defined on . It is known that for instance, on the Wiener space, this extension problem has a positive answer if one takes the filtration generated by the coordinate process, made right-continuous, but can have a negative...