English

Martingale representation property in progressively enlarged filtrations

Probability 2015-05-18 v2

Abstract

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

Keywords

Cite

@article{arxiv.1203.1447,
  title  = {Martingale representation property in progressively enlarged filtrations},
  author = {M. Jeanblanc and S. Song},
  journal= {arXiv preprint arXiv:1203.1447},
  year   = {2015}
}
R2 v1 2026-06-21T20:30:17.336Z