Predictable representation property for an enlarged filtration with applications
In this talk I will present new development in filtration enlargements with applications. The focus will be on enlargement of a reference filtration through the observation of a random time and a mark. Random time considered is such that its graph is included in the countable union of graphs of stopping times. Mark revealed at this random time is assumed to satisfy generalised Jacod’s condition. Our relaxation of Jacod’s condition accounts for the dynamic structure of the problem. I will discuss stability of predictable representation property and further application. Talk is based on a joint work with Claudio Fontana.
Area: IS9 - Martingale representations and enlargement of filtrations (Claudio Fontana)
Keywords: Martingale representation, random times, generalised Jacod condition