Martingale representation processes and applications in the market viability under information flow expansion

Abstract: When the extit{martingale representation property} holds, we call any local martingale which realizes the representation a extit{representation process}. There are two properties of the extit{representation process} which can greatly facilitate the computations under the extit{martingale representation property}. Actually, on the one hand, the extit{representation process} is not unique and there always exists a extit{representation process} which is locally bounded and has pathwisely orthogonal components outside of a predictable thin set. On the other hand, the jump measure of a extit{representation process} satisfies the extit{finite predictable constraint}. In this paper, we give a detailed account of these two properties. As application, we will prove that, under the extit{martingale representation property}, the extit{full viability} of an expansion of market information flow implies the extit{drift multiplier assumption}.

Recommendations

Cites work

Cited in

(3)

This page was built for publication: Martingale representation processes and applications in the market viability under information flow expansion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4606387)