Doob's maximal identity, multiplicative decompositions and enlargements of filtrations
Nikeghbali, Ashkan ; Yor, Marc
Illinois J. Math., Tome 50 (2006) no. 1-4, p. 791-814 / Harvested from Project Euclid
In the theory of progressive enlargements of filtrations, the supermartingale $Z_{t}=\mathbf{P}( g>t\mid \mathcal{F}_{t}) $ associated with an honest time $g$, and its additive (Doob-Meyer) decomposition, play an essential role. In this paper, we propose an alternative approach, using a multiplicative representation for the supermartingale $Z_{t}$, based on Doob's maximal identity. We thus give new examples of progressive enlargements. Moreover, we give, in our setting, a proof of the decomposition formula for martingales , using initial enlargement techniques, and use it to obtain some path decompositions given the maximum or minimum of some processes.
Publié le : 2006-05-15
Classification:  60G44,  60G40,  60G48
@article{1258059492,
     author = {Nikeghbali, Ashkan and Yor, Marc},
     title = {Doob's maximal identity, multiplicative decompositions and enlargements of filtrations},
     journal = {Illinois J. Math.},
     volume = {50},
     number = {1-4},
     year = {2006},
     pages = { 791-814},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1258059492}
}
Nikeghbali, Ashkan; Yor, Marc. Doob's maximal identity, multiplicative decompositions and enlargements of filtrations. Illinois J. Math., Tome 50 (2006) no. 1-4, pp.  791-814. http://gdmltest.u-ga.fr/item/1258059492/