|
Progressive projection and log-optimal investment in the frictionless market
P. Dostálab, T. Macha a Institute of Information Theory and Automation, Czech Academy of Science,
Prague, Czech Republic
b Faculty of Mathematics and Physics, Charles University in Prague,
Czech Republic
Аннотация:
In this paper, we introduce notion of progressive projection, closely related to the extended predictable projection. This notion is flexible enough to help us treat the problem of log-optimal investment without transaction costs almost exhaustively in case when the rate of return is not observed. We prove some results saying that the semimartingale property of a continuous process is preserved when changing the filtration to the one generated by the process under very general conditions. We also had to introduce a very useful and flexible notion of so called enriched filtration.
Ключевые слова:
Log-optimal investment, progressive projection, filtering.
Образец цитирования:
P. Dostál, T. Mach, “Progressive projection and log-optimal investment in the frictionless market”, Theory Stoch. Process., 25(41):1 (2020), 37–77
Образцы ссылок на эту страницу:
https://www.mathnet.ru/rus/thsp311 https://www.mathnet.ru/rus/thsp/v25/i1/p37
|
Статистика просмотров: |
Страница аннотации: | 74 | PDF полного текста: | 52 | Список литературы: | 17 |
|