Expansion of a filtration with a stochastic process: the information drift

Abstract

When expanding a filtration with a stochastic process it is easily possible for semimartingale no longer to remain semimartingales in the enlarged filtration. Y. Kchia and P. Protter indicated a way to avoid this pitfall in 2015, but they were unable to give the semimartingale decomposition in the enlarged filtration except for special cases. We provide a way to compute such a decomposition, and moreover we provide a sufficient condition for Itô processes to remain Itô processes in the enlarged filtration. This has significance in applications to Mathematical Finance.