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• W2015472273 abstract "We deal with various alternative decompositions of $mathbb{F}$-martingales with respect to the filtration $mathbb{G}$, which represents the enlargement of a filtration $mathbb{F}$ by a progressive flow of observations of a random time that either belongs to the class of pseudo-honest times or satisfies the extended density hypothesis. Several related results from the existing literature are revisited and essentially extended. Results on $mathbb{G}$-semimartingale decompositions of $mathbb{F}$-local martingales are crucial for applications in financial mathematics, most notably in the context of credit risk modeling and the study of insider trading where the enlarged filtration plays a vital role. We outline potential applications of our results to problems arising in financial mathematics." @default.
• W2015472273 created "2016-06-24" @default.
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• W2015472273 date "2014-08-01" @default.
• W2015472273 modified "2023-09-24" @default.
• W2015472273 title "Progressive enlargements of filtrations with pseudo-honest times" @default.
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• W2015472273 doi "https://doi.org/10.1214/13-aap955" @default.
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