Linking progressive and initial filtration expansions

DOI10.1007/978-1-4614-5906-4_21MaRDI QIDQ2841794zbMATH OpenOpenAlexFDO

Authors Younes Kchia, Martin Larsson, Philip Protter

Publication date 30 July 2013

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1104.4139

zbMATH Keywords

filtrationsrandom timessemimartingale

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Generalizations of martingales (60G48) Stochastic integrals (60H05)

Abstract: In this paper we study progressive filtration expansions with random times. We show how semimartingale decompositions in the expanded filtration can be obtained using a natural link between progressive and initial expansions. The link is, on an intuitive level, that the two coincide after the random time. We make this idea precise and use it to establish known and new results in the case of expansion with a single random time. The methods are then extended to the multiple time case, without any restrictions on the ordering of the individual times. Finally we study the link between the expanded filtrations from the point of view of filtration shrinkage. As the main analysis progresses, we indicate how the techniques can be generalized to other types of expansions.

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