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

Monique Jeanblanc; Libo Li; Shiqi Song

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arXiv · 1402.3278

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

Monique Jeanblanc·Libo Li·Shiqi Song

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Abstract

Given a reference filtration $\mathbb{F}$, we develop in this work a generic method for computing the semimartingale decomposition of $\mathbb{F}$-martingales in some specific enlargements of $\mathbb{F}$. 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.

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Monique Jeanblanc, Libo Li, Shiqi Song. 2014-02-13. An enlargement of filtration formula with application to progressive enlargement with multiple random times. https://arxiv.org/abs/1402.3278

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