At the end of the 1970s, Jean Jacod, Thierry Jeulin and Marc Yor started a systematic study
of enlargement of filtration which focuses on the properties of stochastic processes under a …

Given a reference filtration F, we consider the cases where an enlarged filtration G is
constructed from F in two different ways: progressively with a random time or initially with a …

This paper focuses on the stability of no-arbitrage, for discrete time market models, under
additional uncertainty generated by a random time. At the practical level, this random time …

On a probability space (Ω,A,Q), we consider two filtrations F⊂G and a G stopping time θ
such that the G predictable processes coincide with F predictable processes on (0,θ. In this …

We analyse the structure of local martingale deflators projected on smaller filtrations. In a
general continuous-path setting, we show that the local martingale parts in the multiplicative …

This paper completes the studies undertaken in Aksamit et al.(2017, 2018)[[1],[2]] and
Choulli and Deng (2017)[[8]], where we quantify the impact of a random time on the no …

The paper defines and studies thin times which are random times whose graph is contained
in a countable union of graphs of stopping times with respect to a reference filtration F. We …

We study optional projections of G-adapted strict local martingales on a smaller filtration F
under changes of equivalent martingale measures. General results are provided as well as …

We propose indifference pricing to estimate the value of the weak information. Our
framework allows for tractability, quantifying the amount of additional information, and …

We study insider trading in a jump-binomial model of the financial market that is based on a
marked binomial process and that serves as a suitable alternative to some classical …