Martingale representation in the enlargement of the filtration generated by a point process

Paolo Di Tella and Monique Jeanblanc

Stochastic Processes and their Applications, 2021, vol. 131, issue C, 103-121

Abstract: Let X be a point process and let X denote the filtration generated by X. In this paper we study martingale representation theorems in the filtration G obtained as an initial and progressive enlargement of the filtration X. The progressive enlargement is done here by means of a whole point process H. We do not require further assumptions on the point process H nor on the dependence between X and H. In particular, we recover the special case of the progressive enlargement by a random time τ.

Keywords: Point processes; Martingale representation; Progressive enlargement; Initial enlargement; Random measures (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spa.2020.09.008

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