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arXiv · 1902.06780

Expansion of a filtration with a stochastic process: the information drift

Léo Neufcourt·Philip Protter
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Abstract

When expanding a filtration with a stochastic process it is easily possible for semimartingale no longer to remain semimartingales in the enlarged filtration. Y. Kchia and P. Protter indicated a way to avoid this pitfall in 2015, but they were unable to give the semimartingale decomposition in the enlarged filtration except for special cases. We provide a way to compute such a decomposition, and moreover we provide a sufficient condition for It\^o processes to remain It\^o processes in the enlarged filtration. This has significance in applications to Mathematical Finance.

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Léo Neufcourt, Philip Protter. 2019-02-18. Expansion of a filtration with a stochastic process: the information drift. https://arxiv.org/abs/1902.06780

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