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Carthaginian enlargement of filtrations

Giorgia CallegaroMonique JeanblancBehnaz Zargari — 2013

ESAIM: Probability and Statistics

This work is concerned with the theory of initial and progressive enlargements of a reference filtration 𝔽 F with a random time. We provide, under an equivalence assumption, slightly stronger than the absolute continuity assumption of Jacod, alternative proofs to results concerning canonical decomposition of an 𝔽 F -martingale in the enlarged filtrations. Also, we address martingales’ characterization in the enlarged filtrations in terms of martingales in the reference filtration, as well as predictable...

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