论文标题
Martingale代表逐渐扩大Lévy过滤
Martingale Representation in Progressively Enlarged Lévy Filtrations
论文作者
论文摘要
在本文中，我们通过随机扩大$ \ mathbb {g} $在一个随机的时间$τ$中获得过滤$ \ Mathbb {f}^l $由LévyProcess $ L $生成的$τ$。随机时间的假设是，$ \ mathbb {f}^ l $沉浸在$ \ mathbb {g} $中，而$τ$避免$ \ mathbb {f}^ l $停止时间。我们还研究了逐渐扩大过滤的多样性。
In this paper we obtain a martingale representation theorem in the progressive enlargement $\mathbb{G}$ by a random time $τ$ of the filtration $\mathbb{F}^L$ generated by a Lévy process $L$. The assumptions on the random time are that $\mathbb{F}^ L$ is immersed in $\mathbb{G}$ and that $τ$ avoids $\mathbb{F}^ L$ stopping times. We also study the multiplicity of a progressively enlarged filtration.
