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Enlargement of Filtrations -- A Primer (2210.07045v1)
Published 13 Oct 2022 in math.PR
Abstract: In stochastic analysis, the flow of information through time is typically modelled using a filtration. We introduce some of the basic ideas involving enlargements of filtration. Here, we focus mainly on initial enlargements, where a given filtration is enlarged with knowledge of an additional random variable. This has applications to the modelling of insider trading in mathematical finance.