On progressive filtration expansion with a process
Probability
2011-05-10 v1
Abstract
In this paper we study progressive filtration expansions with cadlag processes. Using results from the weak convergence of sigma fields theory, we first establish a semimartingale convergence theorem. Then we apply it in a filtration expansion with a process setting and provide sufficient conditions for a semimartingale of the base filtration to remain a semimartingale in the expanded filtration. Finally, an application to the expansion of a Brownian filtration with a time reversed diffusion is given through a detailed study.
Keywords
Cite
@article{arxiv.1105.1662,
title = {On progressive filtration expansion with a process},
author = {Younes Kchia and Philip Protter},
journal= {arXiv preprint arXiv:1105.1662},
year = {2011}
}