کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
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5130099 | 1378658 | 2017 | 34 صفحه PDF | دانلود رایگان |
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This paper extends results of Mortimer and Williams (1991) about changes of probability measure up to a random time under the assumptions that all martingales are continuous and that the random time avoids stopping times. We consider locally absolutely continuous measure changes up to a random time, changes of probability measure up to and after an honest time, and changes of probability measure up to a pseudo-stopping time. Moreover, we apply our results to construct a change of probability measure that is equivalent to the enlargement formula and to build, for a certain class of pseudo-stopping times, a class of measure changes that preserve the pseudo-stopping time property. Furthermore, we study for a price process modeled by a continuous semimartingale the stability of the No Free Lunch with Vanishing Risk (NFLVR) property up to a random time, that avoids stopping times, in the progressively enlarged filtration and provide sufficient conditions for this stability in terms of the Azéma supermartingale.
Journal: Stochastic Processes and their Applications - Volume 127, Issue 5, May 2017, Pages 1565-1598