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arXiv · 2007.14153

Martingale Representation in Progressively Enlarged Lévy Filtrations

Paolo Di Tella·Hans-Jürgen Engelbert
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Abstract

In this paper we obtain a martingale representation theorem in the progressive enlargement $\mathbb{G}$ by a random time $τ$ of the filtration $\mathbb{F}^L$ generated by a Lévy process $L$. The assumptions on the random time are that $\mathbb{F}^ L$ is immersed in $\mathbb{G}$ and that $τ$ avoids $\mathbb{F}^ L$ stopping times. We also study the multiplicity of a progressively enlarged filtration.

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Paolo Di Tella, Hans-Jürgen Engelbert. 2020-07-28. Martingale Representation in Progressively Enlarged Lévy Filtrations. https://arxiv.org/abs/2007.14153

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