论文标题
等效的当地玛格尔措施下的可选投影
Optional projection under equivalent local martingale measures
论文作者
论文摘要
本文的动机是了解信息对资产价格泡沫和感知套利机会的影响。这归结为研究$ \ mathbb {g} $的可选预测 - 在同等的martingale措施下，将严格的本地martingales改编为较小的过滤$ \ mathbb {f} $。我们给出了一些一般结果，并详细分析了两个逆三维贝塞尔过程和一类随机波动率模型给出的两个特定示例。
Motivation for this paper is to understand the impact of information on asset price bubbles and perceived arbitrage opportunities. This boils down to study optional projections of $\mathbb{G}$-adapted strict local martingales into a smaller filtration $\mathbb{F}$ under equivalent martingale measures. We give some general results as well as analyze in details two specific examples given by the inverse three dimensional Bessel process and a class of stochastic volatility models.
