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Enlargements of filtrations and path decompositions at non-stopping times

Ashkan Nikeghbali
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Abstract

Azéma associated with an honest time L the supermartingale $Z_{t}^{L}=\mathbb{P}[L>t|\mathcal{F}_{t}]$ and established some of its important properties. This supermartingale plays a central role in the general theory of stochastic processes and in particular in the theory of progressive enlargements of filtrations. In this paper, we shall give an additive characterization for these supermartingales, which in turn will naturally provide many examples of enlargements of filtrations. In particular, we use this characterization to establish some path decomposition results, closely related to or reminiscent of Williams' path decomposition results.

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Ashkan Nikeghbali. 2007-07-22. Enlargements of filtrations and path decompositions at non-stopping times. https://arxiv.org/abs/math/0505623

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