The strong predictable representation property in initially enlarged filtrations under the density hypothesis
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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.
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Cited in
(15)- BSDEs and enlargement of filtration
- Dynkin game with asymmetric information
- Strict local martingales via filtration enlargement
- Martingale spaces and representations under absolutely continuous changes of probability
- 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
- Projections of martingales in enlargements of Brownian filtrations under Jacod's equivalence hypothesis
- On the construction of conditional probability densities in the Brownian and compound Poisson filtrations
- The value of informational arbitrage
- Some Remarks on Enlargement of Filtration and Finance
- Filtration shrinkage, the structure of deflators, and failure of market completeness
- Martingale representation theorems for initially enlarged filtrations.
- Enlargement of Filtration and Additional Information in Pricing Models: Bayesian Approach
- On the propagation of the weak representation property in independently enlarged filtrations: the general case
- Dynamic equilibrium with insider information and general uninformed agent utility
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