Martingale representation property in progressively enlarged filtrations

By Monique Jeanblanc, S. Song. 2012

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

Subfields: Applied Mathematics, Finance

View Paper: https://www.semanticscholar.org/paper/ee38cc0abbbfac1c7a959afd9df7ff2d3ca1a9b2