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Journal Article

Progressive projection and log-optimal investment in the frictionless market

Dostál Petr, Mach Tibor

: Theory of Stochastic Processes vol.25, 1 (2020), p. 37-77

: log-optimal investment, progressive projection, filtering

: http://library.utia.cas.cz/separaty/2021/RO/dostal-0545582.pdf

: http://www.mathnet.ru/php/archive.phtml?wshow=paper&jrnid=thsp&paperid=311&option_lang=eng

(eng): In this paper, we introduce notion of progressive projection, closely related to the extended predictable projection. This notion is exible 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 exible notion of so called enriched filtration.

: BA

: 10103