Progressive projection and log-optimal investment in the frictionless market
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F20%3A00545582" target="_blank" >RIV/67985556:_____/20:00545582 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11320/20:10419376
Result on the web
<a href="http://www.mathnet.ru/php/archive.phtml?wshow=paper&jrnid=thsp&paperid=311&option_lang=eng" target="_blank" >http://www.mathnet.ru/php/archive.phtml?wshow=paper&jrnid=thsp&paperid=311&option_lang=eng</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Progressive projection and log-optimal investment in the frictionless market
Original language description
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.
Czech name
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Czech description
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Classification
Type
J<sub>SC</sub> - Article in a specialist periodical, which is included in the SCOPUS database
CEP classification
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OECD FORD branch
10103 - Statistics and probability
Result continuities
Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2020
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Teoriâ slučajnyh processov
ISSN
0321-3900
e-ISSN
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Volume of the periodical
25
Issue of the periodical within the volume
1
Country of publishing house
UA - UKRAINE
Number of pages
41
Pages from-to
37-77
UT code for WoS article
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EID of the result in the Scopus database
2-s2.0-85124813473