Some Remarks on Enlargement of Filtration and Finance
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. It was a great pleasure to write this paper in honour of my friend Catriona, who so efficiently manages her duties for Springer, providing useful editorial advice, improving the quality of the first versions of submitted books, promoting Springer volumes at many conferences, and contacting authors both old and new. Like many of us, I met Catriona quite often in numerous mathematical workshops. The time we spent together (too short) was always a pleasure. I will miss her during the forthcoming meetings and wish her a pleasant retirement.
Domains
Probability [math.PR]
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