| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10527183 | Stochastic Processes and their Applications | 2015 | 30 Pages |
Abstract
Consider G the progressive enlargement of a filtration F with a random time Ï. Assuming that, in F, the martingale representation property holds, we examine conditions under which the martingale representation property holds also in G. A general methodology is developed in this paper, with results covering every known (classical or recent) examples.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Monique Jeanblanc, Shiqi Song,