Optional projection under equivalent local martingale measures
研究了在改变等价鞅测度时，将大信息流下的严格局部鞅投影到小信息流上的可选投影，通过逆贝塞尔过程和随机波动率模型两个例子，澄清了信息受限下市场模型的无套利条件。
Abstract We study optional projections of ${\mathbb{G}}$ <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML"> <mml:mi>G</mml:mi> </mml:math> -adapted strict local martingales on a smaller filtration ${\mathbb{F}}$ <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML"> <mml:mi>F</mml:mi> </mml:math> under changes of equivalent martingale measures. General results are provided as well as a detailed analysis of two specific examples given by the inverse Bessel process and a class of stochastic volatility models. This analysis contributes to clarify the absence of arbitrage opportunities of market models under restricted information.