8 citations · 17 across the 5 of their papers we have counts for
5 papers · 1 filter
Thin-thick approach to martingale representations on progressively enlarged filtrations
Antonella Calzolari, Barbara Torti
We study the predictable representation property in the progressive enlargement F^τof a reference filtration F by a random time τ. Our approach is based on the decomposition of any…
Martingale representations in progressive enlargement by multivariate point processes
Antonella Calzolari, Barbara Torti
We show that all local martingales with respect to the initially enlarged natural filtration of a vector of multivariate point processes can be weakly represented up to the minimum…
Martingale representation on enlarged filtrations: the role of the accessible jump times
Antonella Calzolari, Barbara Torti
We consider a filtration obtained as enlargement of a filtration by a filtration . We assume that all -local martingales are repre…
Martingale representation in progressive enlargement by the reference filtration of a semimartingale: a note on the multidimensional case
Antonella Calzolari, Barbara Torti
Let X and Y be an m-dimensional F-semimartingale and an n-dimensional H-semimartingale respectively on the same probability space, both enjoying the strong predictable representati…
Enlargement of filtration and predictable representation property for semi-martingales
Antonella Calzolari, Barbara Torti
We present two examples of loss of the predictable representation property for semi-martingales by enlargement of the reference filtration. First of all we show that the predictabl…