At the end of the 1970s, Jean Jacod, Thierry Jeulin and Marc Yor started a systematic study
of enlargement of filtration which focuses on the properties of stochastic processes under a …

This paper studies the impact, on no-arbitrage conditions, of stopping the price process at an
arbitrary random time. As price processes, we consider the class of quasi-left-continuous …

We study the strong predictable representation property in filtrations initially enlarged with a
random variable L. We prove that the strong predictable representation property can always …

The development of the theory of the expansion of filtrations took place mostly three
decades ago, in the 1980s. Researchers developed two types of expansions: Initial …

Given a reference filtration F, we consider the cases where an enlarged filtration G is
constructed from F in two different ways: progressively with a random time or initially with a …

This paper focuses on the stability of no-arbitrage, for discrete time market models, under
additional uncertainty generated by a random time. At the practical level, this random time …

This paper quantifies the interplay between the no-arbitrage notion of no unbounded profit
with bounded risk (NUPBR) and additional progressive information generated by a random …

On a probability space (Ω,A,Q), we consider two filtrations F⊂G and a G stopping time θ
such that the G predictable processes coincide with F predictable processes on (0,θ. In this …

We analyse the structure of local martingale deflators projected on smaller filtrations. In a
general continuous-path setting, we show that the local martingale parts in the multiplicative …

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