Expectations in the Enlarged Filtration

Part of the Applied Quantitative Finance book series (AQF)


In this chapter, we derive a formula of the conditional expectation with respect to the enlarged filtration. This is a generalization of the Dellacherie formula. We shall use this key result to compute the expectations that we encounter in the conditional jump diffusion framework.


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© The Author(s) 2017

Authors and Affiliations

  1. 1.LondonUK

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