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An enlargement of filtration formula with application to progressive enlargement with multiple random times (1402.3278v1)
Published 13 Feb 2014 in math.PR
Abstract: Given a reference filtration $\mathbb{F}$, we develop in this work a generic method for computing the semimartingale decomposition of $\mathbb{F}$-martingales in some specific enlargements of $\mathbb{F}$. This method is then applied to the study of progressive enlargement with multiple non-ordered random times, for which explicit decompositions can be obtained under the absolute continuity condition of Jacod.