# Doob's maximal identity, multiplicative decompositions and enlargements of filtrations

Nikeghbali, A; Yor, M (2006). Doob's maximal identity, multiplicative decompositions and enlargements of filtrations. Illinois Journal of Mathematics, 50(1-4):791-814 (electronic).

## Abstract

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.

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.

## Citations

24 citations in Web of Science®
22 citations in Scopus®

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Item Type: Journal Article, refereed, original work 07 Faculty of Science > Institute of Mathematics 510 Mathematics English 2006 20 Jan 2010 11:18 05 Apr 2016 13:24 University Of Illinois At Urbana-Champaign, Department of Mathematics 0019-2082 0-9746986-1-X http://projecteuclid.org/DPubS?service=UI&version=1.0&verb=Display&handle=euclid.ijm/1258059492 http://arxiv.org/abs/math/0503386
Permanent URL: https://doi.org/10.5167/uzh-21635

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