An example of martingale representation in progressive enlargement by an accessible random time


When a filtration represented by a martingale M is enlarged by the observation of a martingale N it can happens that the cross variation process  [M,N]  enters in the martingale representation of the enlarged filtration.... [ view full abstract ]


  1. Barbara Torti (University of Rome Tor Vergata)
  2. Antonella Calzolari (University of Rome Tor Vergata)

Topic Area

Stochastic Analysis


WE-A-DA » The Value of Information (11:30 - Wednesday, 18th July, Davis)

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