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On the weak representation property in progressively enlarged filtrations with an application in exponential utility maximization

Paolo Di Tella

Stochastic Processes and their Applications, 2020, vol. 130, issue 2, 760-784

Abstract: In this paper we show that the weak representation property of a semimartingale X with respect to a filtration F is preserved in the progressive enlargement G by a random time τ avoiding F-stopping times and such that F is immersed in G. As an application of this, we can solve an exponential utility maximization problem in the enlarged filtration G following the dynamical approach, based on suitable BSDEs, both over the fixed-time horizon [0,T], T>0, and over the random-time horizon [0,T∧τ].

Keywords: Weak representation property; Semimartingales; Progressive enlargement of filtrations; Exponential utility maximization (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (5)

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DOI: 10.1016/j.spa.2019.03.013

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