


















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.
此内容由惯性聚合(RSS阅读器)自动聚合整理,仅供阅读参考。 原文来自 — 版权归原作者所有。