Weak representation property in progressively enlarged filtrations

Di Tella Paolo, TU Dresden

In this talk we review some results about the propagation of the weak representation property to progressively enlarged filtration. The enlargement of the reference filtration can be carried by a random time or by a whole semimartingale.

Area: IS9 - Martingale representations and enlargement of filtrations (Claudio Fontana)

Keywords: weak representation property, progressively enlargement of filtrations