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arXiv · 1309.5766

Enlargement of filtration and predictable representation property for semi-martingales

Antonella Calzolari·Barbara Torti
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Abstract

We present two examples of loss of the predictable representation property for semi-martingales by enlargement of the reference filtration. First of all we show that the predictable representation property for a square-integrable semi-martingale X does not transfer from the reference filtration F to a larger filtration G when the information starts growing up to a positive time. Then we study the case when F coincides with the natural filtration of X and G is obtained by adding the natural filtration of a second square-integrable semi-martingale, Y. We establish conditions under which the triplet (X,Y,[X,Y]) enjoys the predictable representation property with respect to G.

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Antonella Calzolari, Barbara Torti. 2016-01-11. Enlargement of filtration and predictable representation property for semi-martingales. https://doi.org/10.1080/17442508.2015.1124878

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