2012•arXiv (Cornell University)Open access

Martingale representation property in progressively enlarged filtrations

Monique Jeanblanc, Shangling Song

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Abstract

Consider $\mathbb{G}$ the progressive enlargement of a filtration $\mathbb{F}$ with a random time $τ$. Assuming that, in $\mathbb{F}$, the martingale representation property holds, we examine conditions under which the martingale representation property holds also in $\mathbb{G}$. A general methodology is developed in this paper, with results covering every known (classical or recent) examples.

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Consider $\mathbb{G}$ the progressive enlargement of a filtration $\mathbb{F}$ with a random time $τ$. Assuming that, in $\mathbb{F}$, the martingale representation property holds, we examine conditions under which the martingale representation property holds also in $\mathbb{G}$. A general methodology is developed in this paper, with results covering every known (classical or recent) examples.

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Available abstract

Consider $\mathbb{G}$ the progressive enlargement of a filtration $\mathbb{F}$ with a random time $τ$. Assuming that, in $\mathbb{F}$, the martingale representation property holds, we examine conditions under which the martingale representation property holds also in $\mathbb{G}$. A general methodology is developed in this paper, with results covering every known (classical or recent) examples.

Key concepts: Martingale (probability theory), Mathematics, Property (philosophy), Local martingale, Representation (politics), Martingale representation theorem, Pure mathematics, Applied mathematics

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