{
  "id": "1108.4243",
  "version": "v2",
  "published": "2011-08-22T07:13:38.000Z",
  "updated": "2013-10-27T22:54:45.000Z",
  "title": "A new kind of augmentation of filtrations suitable for a change of probability measure by a strict local martingale",
  "authors": [
    "Doerte Kreher",
    "Ashkan Nikeghbali"
  ],
  "categories": [
    "math.PR"
  ],
  "abstract": "In this note we introduce a new kind of augmentation of filtrations along a sequence of stopping times. This augmentation is suitable for the construction of new probability measures associated to a positive strict local martingale as done in \\cite{split1}, while it is on the other hand rich enough to make classical results from stochastic analysis hold true on some stochastic interval of interest.",
  "revisions": [
    {
      "version": "v2",
      "updated": "2013-10-27T22:54:45.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "probability measure",
      "filtrations suitable",
      "augmentation",
      "stochastic analysis hold true",
      "positive strict local martingale"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2011arXiv1108.4243K"
    }
  }
}