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Some Remarks on Enlargement of Filtration and Finance

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Mathematics Going Forward

Part of the book series: Lecture Notes in Mathematics ((LNM,volume 2313))

Abstract

In this note, we give a short overview of enlargement (or expansion) of filtration to help the reader who would like to have a survey on known results and some open questions. We try to select some papers (not all!) which contain important results. We present some applications in mathematical finance.

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Acknowledgements

The author thanks warmly the language editor for improving the English a lot and the two referees for providing some help to improve the paper.

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Authors and Affiliations

  1. Laboratoire de Mathématiques et Modélisation d’Evry, Université Paris-Saclay, CNRS, Univ Evry, Evry, France

    Monique Jeanblanc

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  1. Monique Jeanblanc
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Correspondence to Monique Jeanblanc .

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Editors and Affiliations

  1. CMLA, École Normale Supérieure, Cachan CX, France

    Jean-Michel Morel

  2. Université Paris Cité and Sorbonne Université, CNRS, IMJ-PRG, F-75013, Paris, France

    Bernard Teissier

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Jeanblanc, M. (2023). Some Remarks on Enlargement of Filtration and Finance. In: Morel, JM., Teissier, B. (eds) Mathematics Going Forward . Lecture Notes in Mathematics, vol 2313. Springer, Cham. https://doi.org/10.1007/978-3-031-12244-6_9

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