Martingale representation in the enlargement of the filtration generated by a point process
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DOI: 10.1016/j.spa.2020.09.008
Abstract: Let $X$ be a point process and let $\mathbb{X}$ denote the filtration generated by $X$. In this paper we study martingale representation theorems in the filtration $\mathbb{G}$ obtained as an initial and progressive enlargement of… read more here.
Keywords: point process; process; filtration generated; enlargement ... See more keywords