On the weak representation property in progressively enlarged filtrations with an application in exponential utility maximization

DOI10.1016/J.SPA.2019.03.013zbMATH Open1471.60059arXiv1803.10939OpenAlexW2963692392WikidataQ115566898 ScholiaQ115566898MaRDI QIDQ2289809FDOQ2289809

P. Di Tella

Publication date: 24 January 2020

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: In this paper we show that the weak representation property of a semimartingale $X$ with respect to a filtration $mathbbF$ is preserved in the progressive enlargement $mathbbG$ by a random time $au$ avoiding $mathbbF$-stopping times and such that $mathbbF$ is immersed in $mathbbG$. As an application of this, we can solve an exponential utility maximization problem in the enlarged filtration $mathbbG$ following the dynamical approach, based on suitable BSDEs, both over the fixed time horizon $[0,T]$, $T>0$, and over $[0,Twedgeau]$.

Full work available at URL: https://arxiv.org/abs/1803.10939

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zbMATH Keywords

progressive enlargement of filtrationssemimartingalesweak representation propertyexponential utility maximization

Mathematics Subject Classification ID

Random measures (60G57) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)

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Cited In (4)

• On the propagation of the weak representation property in independently enlarged filtrations: the general case
• Title not available (Why is that?)
• Martingale representation in progressively enlarged Lévy filtrations
• MARTINGALE REPRESENTATIONS IN PROGRESSIVE ENLARGEMENT BY MULTIVARIATE POINT PROCESSES

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