Publication at Faculty of Mathematics and Physics |
2020
Abstract
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.