An enlargement of filtration formula with application to progressive enlargement with multiple random times

2014/02/13 by Monique Jeanblanc, Libo Li, Jeanblanc, Monique +3
Mathematics · #FOS: Mathematics #Probability (math.PR) #math.PR

paper · pdf · doi:10.48550/arxiv.1402.3278

arxiv created 2014/02/13 · arxiv updated 2014/02/14

Abstract

Given a reference filtration \mathbbF, we develop in this work a generic method for computing the semimartingale decomposition of \mathbbF-martingales in some specific enlargements of \mathbbF. This method is then applied to the study of progressive enlargement with multiple non-ordered random times, for which explicit decompositions can be obtained under the absolute continuity condition of Jacod.

Related

• Carthaginian Enlargement of Filtrations
• Martingale representation property in progressively enlarged filtrations
• Progressive Enlargements of Filtrations with Pseudo-Honest Times and their Applications in Financial Mathematics
• Linking progressive and initial filtration expansions
• Martingale Representation in Progressively Enlarged Lévy Filtrations