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

Abstract

In this paper we investigate the propagation of the weak representation property (WRP) to an independently enlarged filtration. More precisely, we consider an $\mathbb{F}$-semimartingale $X$ possessing the WRP with respect to $\mathbb{F}$ and an $\mathbb{H}$-semimartingale $Y$ possessing the WRP with respect to $\mathbb{H}$. Assuming that $\mathbb{F}$ and $\mathbb{H}$ are independent, we show that the $\mathbb{G}$-semimartingale $Z=(X,Y)$ has the WRP with respect to $\mathbb{G}$, where $\mathbb{G}:=\mathbb{F}\vee \mathbb{H}$. In our setting, $X$ and $Y$ may have simultaneous jump-times. Furthermore, their jumps may charge predictable times. This generalizes all available results about the propagation of the WRP to independently enlarged filtrations.