Integral representations of martingales for progressive enlargements of filtrations |
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Authors: | Anna Aksamit Monique Jeanblanc Marek Rutkowski |
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Institution: | 1. School of Mathematics and Statistics, University of Sydney, Sydney, NSW 2006, Australia;2. Laboratoire de Mathématiques et Modélisation d’Évry (LaMME), UMR CNRS 8071, Université d’Évry-Val-d’Essonne, Université Paris Saclay, 23 Boulevard de France, 91037 Évry cedex, France;3. Faculty of Mathematics and Information Science, Warsaw University of Technology, 00-661 Warszawa, Poland |
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Abstract: | We work in the setting of the progressive enlargement of a reference filtration through the observation of a random time . We study an integral representation property for some classes of -martingales stopped at . In the first part, we focus on the case where is a Poisson filtration and we establish a predictable representation property with respect to three -martingales. In the second part, we relax the assumption that is a Poisson filtration and we assume that is an -pseudo-stopping time. We establish integral representations with respect to some -martingales built from -martingales and, under additional hypotheses, we obtain a predictable representation property with respect to two -martingales. |
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Keywords: | 60H99 Predictable representation property Poisson process Random time Progressive enlargement Pseudo-stopping time |
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