Martingale representation property in progressively enlarged filtrations
Probability
2015-05-18 v2
Abstract
Consider the progressive enlargement of a filtration with a random time . Assuming that, in , the martingale representation property holds, we examine conditions under which the martingale representation property holds also in . 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}
}