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- W3083668951 abstract "Abstract We analyse the structure of local martingale deflators projected on smaller filtrations. In a general continuous-path setting, we show that the local martingale parts in the multiplicative Doob–Meyer decomposition of projected local martingale deflators are themselves local martingale deflators in the smaller information market. Via use of a Bayesian filtering approach, we demonstrate the exact mechanism of how updates on the possible class of models under less information result in the strict supermartingale property of projections of such deflators. Finally, we demonstrate that these projections are unable to span all possible local martingale deflators in the smaller information market, by investigating a situation where market completeness is not retained under filtration shrinkage." @default.
- W3083668951 created "2020-09-11" @default.
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- W3083668951 date "2020-09-02" @default.
- W3083668951 modified "2023-09-27" @default.
- W3083668951 title "Filtration shrinkage, the structure of deflators, and failure of market completeness" @default.
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- W3083668951 doi "https://doi.org/10.1007/s00780-020-00435-2" @default.
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