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Attributs	Valeurs
type	work Article
Is Part Of	Supplement: In honor of Marc Yor
Subject	local time martingales Martingales with continuous parameter Stochastic integrals Local time and additive functionals Brownian motion Brownian motion filtration expansion Supplement: In honor of Marc Yor Filtration shrinkage semimartingales
Title	Local martingales and filtration shrinkage
Date	2011-01-01(xsd:dateTime)
has manifestation of work	http://hub.abes.fr/edp/periodical/ps/2011/volume_15/issue_2011/ps0953/m/print http://hub.abes.fr/edp/periodical/ps/2011/volume_15/issue_2011/ps0953/m/web
related by	http://hub.abes.fr/edp/periodical/ps/2011/volume_15/issue_2011/ps0953/authorship/2 http://hub.abes.fr/edp/periodical/ps/2011/volume_15/issue_2011/ps0953/authorship/1
Author	Protter, Philip Föllmer, Hans
Abstract	A general theory is developed for the projection of martingale related processes onto smaller filtrations, to which they are not even adapted. Martingales, supermartingales, and semimartingales retain their nature, but the case of local martingales is more delicate, as illustrated by an explicit case study for the inverse Bessel process. This has implications for the concept of No Free Lunch with Vanishing Risk, in Finance.
article type	research-article
publisher identifier	ps0953
Date Copyrighted	2011-01-01(xsd:dateTime)
Rights	© EDP Sciences, SMAI, 2011
Rights Holder	EDP Sciences, SMAI
is part of this journal	ESAIM: Probability and Statistics
is primary topic of	http://hub.abes.fr/edp/periodical/ps/2011/volume_15/issue_2011/ps0953/w/record

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