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.).File | Dimensione | Formato | |
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