Martingale representations in progressive enlargement by the reference filtration of a semi-martingale: a note on the multidimensional case

DOI10.1080/17442508.2018.1533015zbMath1492.60116arXiv1609.09701OpenAlexW3098658947MaRDI QIDQ5086425

Barbara Torti, Antonella Calzolari

Publication date: 5 July 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1609.09701

zbMATH Keywords

enlargement of filtrationsemi-martingalescompleteness of a financial marketpredictable representations property

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Actuarial science and mathematical finance (91G99)

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An Example of Martingale Representation in Progressive Enlargement by an Accessible Random Time, MARTINGALE REPRESENTATIONS IN PROGRESSIVE ENLARGEMENT BY MULTIVARIATE POINT PROCESSES, On the propagation of the weak representation property in independently enlarged filtrations: the general case

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