In the context of a general continuous financial market model, we study whether the additional information associated with an honest time τ gives rise to arbitrage profits. By relying on the theory of progressive enlargement of filtrations, we explicitly show that no kind of arbitrage profit...

For a given filtered probability space , an -adapted continuous increasing process [Lambda] and a positive - local martingale N such that [Lambda]0=0 and Nte-[Lambda]t=1, we construct a probability measure and a random time [tau] such that and . The probability is linked with the well-known Cox...

Given a filtered probability space , an -adapted continuous increasing process [Lambda] and a positive local martingale N such that satisfies Zt<=1,t>=0, we construct probability measures and a random time [tau] on an extension of , such that the survival probability of [tau], i.e., is equal to Zt for...</=1,t>

A classic paper of Borwein/Lewis (1991) studies optimisation problems over L^p_+ with finitely many linear equality constraints, given by scalar products with functions from L^q. One key result shows that if some x in L^p_+ satisfies the constraints and if the constraint functions are...

A P-sigma-martingale density for a given stochastic process S is a local P-martingale Z0 starting at 1 such that the product ZS is a P-sigma-martingale. Existence of a P-sigma-martingale density is equivalent to a classic absence-of-arbitrage property of S, and it is invariant if we replace the...