On the Propagation of the Weak Representation Property in Independently Enlarged Filtrations: The General Case
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DOI: 10.1007/s10959-021-01145-x
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References listed on IDEAS
- Di Tella, Paolo, 2020. "On the weak representation property in progressively enlarged filtrations with an application in exponential utility maximization," Stochastic Processes and their Applications, Elsevier, vol. 130(2), pages 760-784.
- El Karoui, Nicole & Jeanblanc, Monique & Jiao, Ying, 2010. "What happens after a default: The conditional density approach," Stochastic Processes and their Applications, Elsevier, vol. 120(7), pages 1011-1032, July.
- Amendinger, Jürgen, 2000. "Martingale representation theorems for initially enlarged filtrations," Stochastic Processes and their Applications, Elsevier, vol. 89(1), pages 101-116, September.
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Keywords
Weak representation property; Semimartingales; Progressive enlargement of filtrations; Independent semimartingales; Random measures; Stochastic integration; Jacod’s equivalence condition;All these keywords.
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