Statistics Seminar - Anna Aksamit - University of Sydney

A seminar by Anna Aksamit from University of Sydney

Title: Information modelling: new type of filtration enlargement, representation property and applications

Abstract: In this talk we will review the classical results about enlargement of filtration and present some new development with applications. The focus will be on conditions under which martingales in the reference filtration remain semimartingales in the large filtration, in which case, the canonical decomposition is of particular interest. We will then present enlargement of a reference filtration through the observation of a random time and a mark. Random time considered is such that its graph is included in the countable union of graphs of stopping times. Mark revealed at this random time is assumed to satisfy generalised Jacod's condition. Our relaxation of Jacod's condition accounts for the dynamic structure of the problem. Finally we will discuss stability of martingale representation property and further application. Talk is based on a joint work with Claudio Fontana.

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Anna Aksamit