0545582 20240103230147.720210917235959.9 85124813473 41 s. P cav_un_epca*05455810321-3900251 (2020)37-77Natsional'na Akademiya Nauk Ukrainy log-optimal investment progressive projection filtering cav_un_auth*0413920 Dostál Petr UTIA-B Rozpoznávání obrazu Department of Pattern Recognition RO RO CZ Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0365236 Mach Tibor UTIA-B Stochastická informatika Department of Stochastic Informatics SI SI CZ Ústav teorie informace a automatizace AV ČR, v. v. i. 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 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. SCOPUS BA 10000 10100 10103 2022 2 RVO:67985556 http://hdl.handle.net/11104/0322311 cav_un_auth*0335448 MFF Charles University, V Holešovickách 2, 180 00 Prague 8 CZ S A 0.117 Q4 2020 85124813473 SCOPUS PUBMED WOS cav_un_epca*0545581 Theory of Stochastic Processes 0321-3900 Roč. 25 č. 1 2020 37 77 Natsional'na Akademiya Nauk Ukrainy