We consider a filtration (Formula presented.) obtained as enlargement of a filtration (Formula presented.) by a filtration (Formula presented.). We assume that all (Formula presented.) -local martingales are represented by a martingale M and all (Formula presented.) -local martingales are represented by a martingale N. M and N are not necessarily quasi-left continuous processes and their jump times may overlap. We first analyse the contribution of the accessible jump times of M and N to the Jacod dimension of the space of the (Formula presented.) -martingales. Then we prove a martingale representation theorem on (Formula presented.).

Calzolari, A., Torti, B. (2024). Martingale representation on enlarged filtrations: the role of the accessible jump times. STOCHASTICS [10.1080/17442508.2024.2427725].

Martingale representation on enlarged filtrations: the role of the accessible jump times

Calzolari, Antonella
;
Torti, Barbara
2024-01-01

Abstract

We consider a filtration (Formula presented.) obtained as enlargement of a filtration (Formula presented.) by a filtration (Formula presented.). We assume that all (Formula presented.) -local martingales are represented by a martingale M and all (Formula presented.) -local martingales are represented by a martingale N. M and N are not necessarily quasi-left continuous processes and their jump times may overlap. We first analyse the contribution of the accessible jump times of M and N to the Jacod dimension of the space of the (Formula presented.) -martingales. Then we prove a martingale representation theorem on (Formula presented.).
2024
Online ahead of print
Rilevanza internazionale
Articolo
Esperti anonimi
Settore MAT/06
Settore MATH-03/B - Probabilità e statistica matematica
English
Con Impact Factor ISI
compensators
enlargement of filtration
marked point processes
Predictable representations property
Partially supported by the MIUR Excellence Department Project MatMod@TOV awarded to the Department of Mathematics, University of Rome Tor Vergata, CUP E83C23000330006
Calzolari, A., Torti, B. (2024). Martingale representation on enlarged filtrations: the role of the accessible jump times. STOCHASTICS [10.1080/17442508.2024.2427725].
Calzolari, A; Torti, B
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2108/395564
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