Martingale Representation in the Enlargement of the Filtration Generated by a Point Process
Publikation: Beitrag in Fachzeitschrift › Forschungsartikel › Beigetragen › Begutachtung
Beitragende
Abstract
Let X be a point process and let X denote the filtration generated by X. In this paper we study martingale representation theorems in the filtration G obtained as an initial and progressive enlargement of the filtration X. The progressive enlargement is done here by means of a whole point process H. We do not require further assumptions on the point process H nor on the dependence between X and H. In particular, we recover the special case of the progressive enlargement by a random time τ.
Details
Originalsprache | Englisch |
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Seiten (von - bis) | 103-121 |
Seitenumfang | 19 |
Fachzeitschrift | Stochastic Processes and their Applications |
Jahrgang | 2021 |
Ausgabenummer | 131 |
Publikationsstatus | Veröffentlicht - Jan. 2021 |
Peer-Review-Status | Ja |
Externe IDs
Scopus | 85090924992 |
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