On the weak representation property in progressively enlarged filtrations with an application in exponential utility maximization

DOI10.1016/j.spa.2019.03.013zbMath1471.60059arXiv1803.10939OpenAlexW2963692392WikidataQ115566898 ScholiaQ115566898MaRDI QIDQ2289809

Paolo Di Tella

Publication date: 24 January 2020

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1803.10939

zbMATH Keywords

semimartingalesprogressive enlargement of filtrationsweak representation propertyexponential utility maximization

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Random measures (60G57)

Related Items

Martingale representation in progressively enlarged Lévy filtrations, MARTINGALE REPRESENTATIONS IN PROGRESSIVE ENLARGEMENT BY MULTIVARIATE POINT PROCESSES, Unnamed Item, On the propagation of the weak representation property in independently enlarged filtrations: the general case

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