Enlargement of Filtration in Discrete Time Setting

When:

Nov 6, 2017 - 1:50pm to 2:55pm

Where:

Rettaliata Engineering Center, Room 104

Speaker:

Monique Jeanblanc
Département de Mathématiques, Université d'Evry Val d'Essonne

Description:

We study, in a discrete time setting, the enlargement of filtration problem. We consider martingales in some filtration $$\mathbb{F}$$, and we introduce a larger filtration $$\mathbb{G}$$. We show that the martingale property in the $$\mathbb{G}$$ filtration is, in general, lost, and we study the Doob decomposition of $$\mathbb{F}$$-martingales when they are considered as $$\mathbb{G}$$-adapted processes. This problem is closely linked with insider trading in a financial market.

We illustrate the study with examples. The goal is to show that results in continuous time are obtained in a very simple way in discrete time.

This is the joint work with Christophette Blanchet-Scalliet.

Event Type:

Department of Applied Mathematics - Colloquia