Martingale representation property in progressively enlarged filtrations

M. Jeanblanc; S. Song

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arXiv · 1203.1447

Martingale representation property in progressively enlarged filtrations

M. Jeanblanc·S. Song

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Abstract

Consider $\mathbb{G}$ the progressive enlargement of a filtration $\mathbb{F}$ with a random time $\tau$. Assuming that, in $\mathbb{F}$, the martingale representation property holds, we examine conditions under which the martingale representation property holds also in $\mathbb{G}$. A general methodology is developed in this paper, with results covering every known (classical or recent) examples.

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M. Jeanblanc, S. Song. 2012-03-07. Martingale representation property in progressively enlarged filtrations. https://arxiv.org/abs/1203.1447

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