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Expectations in the Enlarged Filtration

Chapter
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Part of the Applied Quantitative Finance book series (AQF)

Abstract

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.

References

  1. C. Dellacherie, Un exemple de la théorie générale des processus, Séminaires de Probabilités IV. Lecture Notes in Math. 124 (Springer, Berlin, 1970), pp. 60–70Google Scholar
  2. C. Dellacherie, Capacités et processus stochastiques (Springer, Berlin, 1972)Google Scholar
  3. C. Dellacherie, P.A. Meyer, Probabilités et potentiel (Hermann, Paris, 1975)Google Scholar
  4. C. Dellacherie, P.A. Meyer, A propos du travail de Yor sur les grossissements des tribus, Séminaire de Probabilités XII. Lecture Notes in Math. 649 (Springer, Berlin, 1978) pp. 69–78Google Scholar

Copyright information

© The Author(s) 2017

Authors and Affiliations

  1. 1.LondonUK

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