On the Propagation of the Weak Representation Property in Independently Enlarged Filtrations: The General Case
Publikation: Beitrag in Fachzeitschrift › Forschungsartikel › Beigetragen › Begutachtung
Beitragende
Abstract
In this paper, we investigate the propagation of the weak representation property (WRP) to an independently enlarged filtration. More precisely, we consider an F-semimartingale X possessing the WRP with respect to F and an H-semimartingale Y possessing the WRP with respect to H. Assuming that F and H are independent, we show that the G-semimartingale Z= (X, Y) has the WRP with respect to G, where G: = F∨ H. In our setting, X and Y may have simultaneous jump-times. Furthermore, their jumps may charge the same predictable times. This generalizes all available results about the propagation of the WRP to independently enlarged filtrations.
Details
Originalsprache | Englisch |
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Seiten (von - bis) | 2194-2216 |
Seitenumfang | 23 |
Fachzeitschrift | Journal of Theoretical Probability |
Jahrgang | 35 |
Ausgabenummer | 4 |
Frühes Online-Datum | 17 Dez. 2021 |
Publikationsstatus | Veröffentlicht - Dez. 2022 |
Peer-Review-Status | Ja |
Externe IDs
Scopus | 85121344066 |
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Schlagworte
Schlagwörter
- Independent semimartingales, Jacod’s equivalence condition, Progressive enlargement of filtrations, Random measures, Semimartingales, Stochastic integration, Weak representation property