7 papers · 1 filter
Martingale Representation in Progressively Enlarged Lévy Filtrations
Paolo Di Tella, Hans-Jürgen Engelbert
In this paper we obtain a martingale representation theorem in the progressive enlargement by a random time of the filtration generated by a Lévy pr…
On the Propagation of the Weak Representation Property in Independently Enlarged Filtrations: The General Case
Paolo Di Tella
In this paper we investigate the propagation of the weak representation property (WRP) to an independently enlarged filtration. More precisely, we consider an -semimart…
BSDEs and log-utility maximization for Lévy processes
Paolo Di Tella, Hans-Jürgen Engelbert
In this paper we establish the existence and the uniqueness of the solution of a special class of BSDEs for Lévy processes in the case of a Lipschitz generator of sublinear growth.…
Martingale Representation in the Enlargement of the Filtration Generated by a Point Process
Paolo Di Tella, Monique Jeanblanc
Let be a point process and let denote the filtration generated by . In this paper we study martingale representation theorems in the filtration obt…
Product and Moment Formulas for Iterated Stochastic Integrals (associated with Lévy Processes)
Paolo Di Tella, Christel Geiss
In this paper, we obtain explicit product and moment formulas for products of iterated integrals generated by families of square integrable martingales associated with an arbitrary…
On The Weak Representation Property in Progressively Enlarged Filtrations with an Application to Exponential Utility Maximization
Paolo Di Tella
In this paper we show that the weak representation property of a semimartingale with respect to a filtration is preserved in the progressive enlargement $\mathbb{G…