On the Propagation of the Weak Representation Property in Independently Enlarged Filtrations: The General Case

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Contributors

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

Original languageEnglish
Pages (from-to)2194-2216
Number of pages23
JournalJournal of Theoretical Probability
Volume35
Issue number4
Early online date17 Dec 2021
Publication statusPublished - Dec 2022
Peer-reviewedYes

External IDs

Scopus 85121344066

Keywords

Keywords

  • Independent semimartingales, Jacod’s equivalence condition, Progressive enlargement of filtrations, Random measures, Semimartingales, Stochastic integration, Weak representation property