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math.PR2020
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…
math.PR2020
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…