Martingale representation in progressively enlarged Lévy filtrations

DOI10.1080/17442508.2021.1935950zbMath1492.60147arXiv2007.14153OpenAlexW3169938284MaRDI QIDQ5086907

Hans-Jürgen Engelbert, Paolo Di Tella

Publication date: 8 July 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2007.14153

zbMATH Keywords

Lévy processesprogressive enlargement of filtrationspredictable representation propertymultiplicity of a filtration

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Martingales and classical analysis (60G46)

Related Items

MARTINGALE REPRESENTATIONS IN PROGRESSIVE ENLARGEMENT BY MULTIVARIATE POINT PROCESSES ⋮ Unnamed Item

Cites Work

• Martingale representation property in progressively enlarged filtrations
• The chaotic representation property of compensated-covariation stable families of martingales
• Calcul stochastique et problèmes de martingales
• Semi-martingales et grossissement d'une filtration
• The multiplicity of an increasing family of \(\sigma\)-fields
• Default times, no-arbitrage conditions and changes of probability measures
• On the weak representation property in progressively enlarged filtrations with an application in exponential utility maximization
• The Predictable Representation Property of Compensated-Covariation Stable Families of Martingales
• Enlargement of Filtration with Finance in View
• The property of predictable representation of the sum of independent semimartingales
• Study of a filtration expanded to include an honest time
• Carthaginian enlargement of filtrations
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