Martingale representation property in progressively enlarged filtrations

Monique Jeanblanc and Shiqi Song

Stochastic Processes and their Applications, 2015, vol. 125, issue 11, 4242-4271

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

Keywords: Progressive enlargement of filtration; Martingale representation property; Honest time; Immersion condition; Change of probability measures; (H′)-hypothesis; Credit risk modeling (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (15)

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DOI: 10.1016/j.spa.2015.06.007

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