英文标题：
《The strong predictable representation property in initially enlarged
filtrations under the density hypothesis》
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作者：
Claudio Fontana
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最新提交年份：
2017
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英文摘要：
We study the strong predictable representation property in filtrations initially enlarged with a random variable L. We prove that the strong predictable representation property can always be transferred to the enlarged filtration as long as the classical density hypothesis of Jacod (1985) holds. This generalizes the existing martingale representation results and does not rely on the equivalence between the conditional and the unconditional laws of L. Depending on the behavior of the density process at zero, different forms of martingale representation are established. The results are illustrated in the context of hedging contingent claims under insider information.
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中文摘要：
我们研究了最初用随机变量L放大的过滤中的强可预测表示性。我们证明了只要Jacod（1985）的经典密度假设成立，强可预测表示性总是可以转移到放大的过滤中。这推广了现有的鞅表示结果，不依赖于L的条件定律和无条件定律之间的等价性。根据密度过程在零处的行为，建立了不同形式的鞅表示。研究结果以内幕信息下的或有权益套期保值为背景进行了说明。
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分类信息：

一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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