{
  "id": "2210.07045",
  "version": "v1",
  "published": "2022-10-13T14:07:21.000Z",
  "updated": "2022-10-13T14:07:21.000Z",
  "title": "Enlargement of Filtrations -- A Primer",
  "authors": [
    "Peter Ouwehand"
  ],
  "comment": "31 pages",
  "categories": [
    "math.PR"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2022-10-13T14:07:21.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60G99"
    ],
    "keywords": [
      "filtration",
      "stochastic analysis",
      "basic ideas",
      "initial enlargements",
      "information"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 31,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}