Martingale representation property in progressively enlarged filtrations
Monique Jeanblanc, Shangling Song
Abstract
Open-access reader
Monique Jeanblanc, Shangling Song
Abstract
Open-access reader
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.
Key concepts: Martingale (probability theory), Mathematics, Property (philosophy), Local martingale, Representation (politics), Martingale representation theorem, Pure mathematics, Applied mathematics