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 …

In a general semimartingale financial model, we study the stability of the No Arbitrage of the
First Kind (NA 1)(or, equivalently, No Unbounded Profit with Bounded Risk) condition under …

This paper completes the analysis of Choulli et al.[6] and contains two principal
contributions. The first contribution consists in providing and analysing many practical …

This paper studies the impact, on no-arbitrage conditions, of stopping the price process at an
arbitrary random time. As price processes, we consider the class of quasi-left-continuous …

The development of the theory of the expansion of filtrations took place mostly three
decades ago, in the 1980s. Researchers developed two types of expansions: Initial …

This paper quantifies the interplay between the no-arbitrage notion of no unbounded profit
with bounded risk (NUPBR) and additional progressive information generated by a random …

This paper addresses the question of how an arbitrage-free semimartingale model is
affected when stopped at a random horizon. We focus on No-Unbounded-Profit-with …

In this lecture, we study enlargement of filtration in a discrete time setting. In a discrete time
setting, considering two filtrations\mathbb F and\mathbb G with\mathbb F ⊂\mathbb G …

Portfolio Optimization with Different Information Flow recalls the stochastic tools and results
concerning the stochastic optimization theory and the enlargement filtration theory. The …

In this paper, we construct supermartingales valued in [0, 1] as solutions of an appropriate
stochastic differential equation on a given reference filtration generated by either a Brownian …