Martingale representation in progressively enlarged Lévy filtrations

DOI10.1080/17442508.2021.1935950zbMATH Open1492.60147arXiv2007.14153OpenAlexW3169938284MaRDI QIDQ5086907FDOQ5086907

H.-J. Engelbert, P. Di Tella

Publication date: 8 July 2022

Published in: Stochastics (Search for Journal in Brave)

Abstract: In this paper we obtain a martingale representation theorem in the progressive enlargement $mathbbG$ by a random time $au$ of the filtration $mathbb{F}^L$ generated by a L'evy process $L$. The assumptions on the random time are that $mathbb{F}^L$ is immersed in $mathbbG$ and that $au$ avoids $mathbb{F}^L$ stopping times. We also study the multiplicity of a progressively enlarged filtration.

Full work available at URL: https://arxiv.org/abs/2007.14153

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zbMATH Keywords

progressive enlargement of filtrationspredictable representation propertyLévy processesmultiplicity of a filtration

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales and classical analysis (60G46)

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Cited In (9)

• Title not available (Why is that?)
• Enlargement of filtration and predictable representation property for semi-martingales
• Title not available (Why is that?)
• Martingale representations for functionals of Lévy processes
• Title not available (Why is that?)
• Title not available (Why is that?)
• MARTINGALE REPRESENTATIONS IN PROGRESSIVE ENLARGEMENT BY MULTIVARIATE POINT PROCESSES
• Integral representations of martingales for progressive enlargements of filtrations
• Bi-revealed utilities in a defaultable universe: a new point of view on consumption

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