Integral representations of martingales for progressive enlargements of filtrations

Abstract

We work in the setting of the progressive enlargement $\mathbb G$ of a reference filtration $\mathbb F$ through the observation of a random time $\tau$. We study an integral representation property for some classes of $\mathbb G$-martingales stopped at $\tau$. In the first part, we focus on the case where $\mathbb F$ is a Poisson filtration and we establish a predictable representation property with respect to three $\mathbb G$-martingales. In the second part, we relax the assumption that $\mathbb F$ is a Poisson filtration and we assume that $\tau$ is an $\mathbb F$-pseudo-stopping time. We establish integral representations with respect to some $\mathbb G$-martingales built from $\mathbb F$-martingales and, under additional hypotheses, we obtain a predictable representation property with respect to two $\mathbb G$-martingales.