PREDICTABLE REPRESENTATION PROPERTY FOR PROGRESSIVE ENLARGEMENTS OF A POISSON FILTRATION

Abstract : We study problems related to the predictable representation property for a progressive enlargement G of a reference filtration F through observation of a finite random time τ. We focus on cases where the avoidance property and/or the continuity property for F-martingales do not hold and the reference filtration is generated by a Poisson process. Our goal is to find out whether the predictable representation property (PRP), which is known to hold in the Poisson filtration, remains valid for a progressively enlarged filtration G with respect to a judicious choice of G-martingales.
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  • HAL Id : hal-01249662, version 1

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Anna Aksamit, Monique Jeanblanc, Marek Rutkowski. PREDICTABLE REPRESENTATION PROPERTY FOR PROGRESSIVE ENLARGEMENTS OF A POISSON FILTRATION. 2015. ⟨hal-01249662⟩

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