Martingale spaces and representations under absolutely continuous changes of probability

DOI10.1214/19-ECP253MaRDI QIDQ2332990zbMATH OpenFDO

Authors Anna Aksamit, Claudio Fontana

Publication date 6 November 2019

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1810.12013, https://projecteuclid.org/euclid.ecp/1570500302

zbMATH Keywords

non-equivalent change of probabilitypredictable representation property

Mathematics Subject Classification ID

General theory of stochastic processes (60G07) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

Abstract: In a fully general setting, we study the relation between martingale spaces under two locally absolutely continuous probabilities and prove that the martingale representation property (MRP) is always stable under locally absolutely continuous changes of probability. Our approach relies on minimal requirements, is constructive and, as shown by a simple example, enables us to study situations which cannot be covered by the existing theory.

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Cites work

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Cited in

(8)

• Martingale BMO spaces with continuous time
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• A unified approach to xVA with CSA discounting and initial margin
• Martingale representation on enlarged filtrations: the role of the accessible jump times
• Spaces of regular abstract martingales

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