On progressive filtration expansion with a process

Abstract

In this paper we study progressive filtration expansions with cadlag processes. Using results from the weak convergence of sigma fields theory, we first establish a semimartingale convergence theorem. Then we apply it in a filtration expansion with a process setting and provide sufficient conditions for a semimartingale of the base filtration to remain a semimartingale in the expanded filtration. Finally, an application to the expansion of a Brownian filtration with a time reversed diffusion is given through a detailed study.