We present two examples of loss of the predictable representation property for semi-martingales by enlargement of the reference filtration. First of all we show that the predictable representation property for a semi-martingale X does not transfer from the reference filtration F to a larger filtration G if the information starts growing up to a positive time. Then we study the case G = F ∨ H when there exists a second special semi-martingale Y enjoying the predictable representation property with respect to H. We establish conditions under which the triplet (X, Y, [X, Y]) enjoys the predictable representation property with respect to G.
Calzolari, A., Torti, B. (2016). Enlargement of filtration and predictable representation property for semi-martingales. STOCHASTICS, 88(5), 1-19 [10.1080/17442508.2015.1124878].
Enlargement of filtration and predictable representation property for semi-martingales
CALZOLARI, ANTONELLA;TORTI, BARBARA
2016-01-01
Abstract
We present two examples of loss of the predictable representation property for semi-martingales by enlargement of the reference filtration. First of all we show that the predictable representation property for a semi-martingale X does not transfer from the reference filtration F to a larger filtration G if the information starts growing up to a positive time. Then we study the case G = F ∨ H when there exists a second special semi-martingale Y enjoying the predictable representation property with respect to H. We establish conditions under which the triplet (X, Y, [X, Y]) enjoys the predictable representation property with respect to G.File | Dimensione | Formato | |
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