Geodesic
Progressive projection and log-optimal investment in the frictionless market
Teoriâ slučajnyh processov, Tome 25 (2020) no. 1, pp. 37-77

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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.
Keywords: Log-optimal investment, progressive projection, filtering. 
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     title = {Progressive projection and log-optimal investment in the frictionless market},
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P. Dostál; T. Mach. Progressive projection and log-optimal investment in the frictionless market. Teoriâ slučajnyh processov, Tome 25 (2020) no. 1, pp. 37-77. http://geodesic.mathdoc.fr/item/THSP_2020_25_1_a2/