Random Times and Enlargements of Filtrations in a Brownian Setting

By R. Mansuy, Marc Yor. 2006

172 citations recorded by the source corpus.

Subfields: Civil and Structural Engineering, Ocean Engineering

View Paper: https://www.semanticscholar.org/paper/2c8b9641b4f03bcbb5de91d98bc547a1137b2ee2

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Civil and Structural Engineering

1. Beatrice Acciaio
2. Anastasiia Zalashko
3. Julio D. Backhoff Veraguas
4. Joachim Lebovits

In Ocean Engineering

1. Beatrice Acciaio
2. Anastasiia Zalashko
3. Julio D. Backhoff Veraguas
4. Joachim Lebovits

Citations in the corpus

• Itô's stochastic calculus: Its surprising power for applications (2010, unknown): “For details we refer to Mansuy–Yor [28].”
• Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management (2010, unknown): “[11,9,12], and the recent lecture notes [16].”
• Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization (2016, methodology): “[MY06] for these and many other examples).”
• Stochastic Calculus with Respect to Gaussian Processes (2014, methodology): “2The enlargement of filtration technique is a third method to extend Itô integral for non semimartingale (see [40] and references therein).”