The strong predictable representation property in initially enlarged filtrations under the density hypothesis
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Publication:681997
DOI10.1016/J.SPA.2017.06.015zbMATH Open1391.60062arXiv1508.03282OpenAlexW2733267657MaRDI QIDQ681997FDOQ681997
Authors: Claudio Fontana 
Publication date: 13 February 2018
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Abstract: We study the strong predictable representation property in filtrations initially enlarged with a random variable L. We prove that the strong predictable representation property can always be transferred to the enlarged filtration as long as the classical density hypothesis of Jacod (1985) holds. This generalizes the existing martingale representation results and does not rely on the equivalence between the conditional and the unconditional laws of L. Depending on the behavior of the density process at zero, different forms of martingale representation are established. The results are illustrated in the context of hedging contingent claims under insider information.
Full work available at URL: https://arxiv.org/abs/1508.03282
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