Initial Enlargement of Filtrations and Entropy of Poisson Compensators

Let μ be a Poisson random measure, let \mathbbF\mathbb{F} be the smallest filtration satisfying the usual conditions and containing the one generated by μ, and let \mathbbG\mathbb{G} be the initial enlargement of \mathbbF\mathbb{F} with the σ-field generated by a random variable G. In this paper, we first show that the mutual information between the enlarging random variable G and the σ-algebra generated by the Poisson random measure μ is equal to the expected relative entropy of the \mathbbG\mathbb{G}-compensator relative to the \mathbbF\mathbb{F}-compensator of the random measure μ. We then use this link to gain some insight into the changes of Doob–Meyer decompositions of stochastic processes when the filtration is enlarged from  \mathbbF\mathbb{F} to  \mathbbG\mathbb{G}. In particular, we show that if the mutual information between G and the σ-algebra generated by the Poisson random measure μ is finite, then every square-integrable \mathbbF\mathbb{F}-martingale is a \mathbbG\mathbb{G}-semimartingale that belongs to the normed space S¹\mathcal{S}^{1} relative to  \mathbbG\mathbb{G}.