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

DOI10.1016/J.SPA.2019.03.013MaRDI QIDQ2289809zbMATH OpenOpenAlexWikidataFDO

Authors P. Di Tella

Publication date 24 January 2020

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

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

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)

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 $[0,Twedgeau]$.

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Cited in

(6)

• On the propagation of the weak representation property in independently enlarged filtrations: the general case
• The strong predictable representation property in initially enlarged filtrations under the density hypothesis
• Martingale representations in progressive enlargement by multivariate point processes
• Martingale representation property in progressively enlarged filtrations
• Martingale representation in progressively enlarged Lévy filtrations
• On the compensator of step processes in progressively enlarged filtrations and related control problems

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