Representation Previsible et Changement de Temps

Abstract

This paper deals with predictable representation and time changed processes. Let $(M^i)_{i\geq 0}$ be a sequence of independent local martingales. Suppose that each $M^i$ has the property of predictable representation with respect to its natural filtration. Suppose also that $(A^i)_{i\geq 1}$ is a sequence of continuous, increasing, $(\mathscr{F}^{M^0}_t)$ adapted processes. We study sufficient conditions in order that $M = M^0 + \sum M^i_{A^i}$ be a local martingale and $M$ have the property of predictable representation with respect to the filtration $(\mathscr{F}^{M^0}_t) \vee (\mathscr{F}^{M^1_{A^1}}_t \vee (\mathscr{F}^{M^2_{A^2}}_t \vee \cdots$. Such problems arise in the modeling of a security market with continuous trading [1].