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Pré-Publication, Document De Travail Année : 2019

Martingale Representation in the Enlargement of the Filtration Generated by a Point Process

Résumé

Let X be a point process and let F 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 F. In particular, the progressive enlargement is done by means of a whole point process H. We work here in full generality, without requiring any further assumption on the process H and we recover the special case in which X is enlarged progressively by a random time τ.
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Dates et versions

hal-02146840 , version 1 (04-06-2019)

Identifiants

  • HAL Id : hal-02146840 , version 1

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Paolo Di Tella, Monique Jeanblanc. Martingale Representation in the Enlargement of the Filtration Generated by a Point Process. 2019. ⟨hal-02146840⟩
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