Optional splitting formula in a progressively enlarged filtration
Work
Year: 2014
Type: article
Abstract: Let be a filtration and τ be a random time. Let be the progressive enlargement of with τ. We study the following formula, called the optional splitting formula: For any -optional process Y, there exis... more
Source: ESAIM Probability and Statistics
Author Shiqi Song
Institution Université d'Évry Val-d'Essonne
Cites: 32
Cited by: 24
Related to: 10
FWCI: 5.811
Citation percentile (by year/subfield): 89.47
Subfield: Finance
Domain: Social Sciences
Open Access status: green