The martingale representation in a progressive enlargement of a filtration and their applications in

来源 :The 2nd Quantitative Finance and Risk Management Forum(第二届数量 | 被引量 : 0次 | 上传用户：wangchong123

【摘要】

：

　　In this paper,we assume that the filtration IF is generated by a d-dimensional Brownian motion W =(Wi,…,Wd) as well as an integer-valued random measure μ(

【作者】

：

Dewen Xiong

【机构】

：

ShanghaiJiaoTongUniversity

【出处】

：

The 2nd Quantitative Finance and Risk Management Forum(第二届数量

【发表日期】

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2013年8期

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　　In this paper,we assume that the filtration IF is generated by a d-dimensional Brownian motion W =(Wi,…,Wd) as well as an integer-valued random measure μ(du,dy).

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