Martingale representation in progressively enlarged Lévy filtrations

DOI10.1080/17442508.2021.1935950zbMATH Open1492.60147OpenAlexW3169938284MaRDI QIDQ5086907FDOQ5086907

Authors P. Di Tella, H.-J. Engelbert

Publication date 8 July 2022

Published in Stochastics (Search for Journal in Brave)

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

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)

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.

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Cited in

(12)

• An example of martingale representation in progressive enlargement by an accessible random time
• scientific article; zbMATH DE number 5919853 (Why is no real title available?)
• scientific article; zbMATH DE number 4216857 (Why is no real title available?)
• Bi-revealed utilities in a defaultable universe: a new point of view on consumption
• Martingale representations in progressive enlargement by the reference filtration of a semi-martingale: a note on the multidimensional case
• Martingale representations in progressive enlargement by multivariate point processes
• Enlargement of filtration and predictable representation property for semi-martingales
• On the compensator of step processes in progressively enlarged filtrations and related control problems
• Integral representations of martingales for progressive enlargements of filtrations
• Martingale representation property in progressively enlarged filtrations
• Martingale representations for functionals of Lévy processes
• scientific article; zbMATH DE number 4135136 (Why is no real title available?)

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