Progressive enlargement of filtrations with initial times
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Let \(\mathbb{F}\), \(\mathbb{G}\) be filtrations such that \(\mathbb{F}\subset\mathbb{G}\). Question: When do we have that any \(\mathbb{F}\)-semimartingale is a \(\mathbb{G}\)-semimartingale? The progressive enlargement of \(\mathbb{F}\) with a random time \(\tau\) (a nonnegative random variable) is the smallest right-continuous filtration \(\mathbb{G}\) containing \(\mathbb{F}\) and making \(\tau\) a stopping time. Since progressive enlargements with ``honest times present some major drawbacks in some applications, the authors study progressive enlargements \(\mathbb{G}\) of \(\mathbb{F}\) with ``initial times \(\tau\), and they show, starting with an arbitrary \(\mathbb{F}\)-martingale \(X\), that \(X\) is a \(\mathbb{G}\)-semimartingale by explicitly deriving its canonical decomposition. In Section 4, enlargements with multiple times are studied. In a final section, examples of initial times are given that can be used in credit modelling.
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