Enlargement of filtration in discrete time

Abstract : We present some results on enlargement of filtration in discrete time. Many results known in continuous time extend immediately in a discrete time setting. Here, we provide direct proofs which are much more simpler. We study also arbitrages conditions in a financial setting and we present some specific cases, as immersion and pseudo-stopping times for which we obtain new results.
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https://hal.archives-ouvertes.fr/hal-01253214
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Submitted on : Friday, January 8, 2016 - 6:54:12 PM
Last modification on : Thursday, June 6, 2019 - 11:44:53 AM
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  • HAL Id : hal-01253214, version 1

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Christophette Blanchet-Scalliet, Monique Jeanblanc, Ricardo Romo Roméro. Enlargement of filtration in discrete time. 2016. ⟨hal-01253214⟩

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