On Progressive Filtration Expansions with a Process; Applications to Insider Trading

In this paper we study progressive filtration expansions with càdlàg processes. Using results from the theory of the weak convergence of $σ$-fields, we first establish a semimartingale convergence theorem. Then we apply it in a filtration expansion with a process setting and provide sufficient conditions for a semimartingale of the base filtration to remain a semimartingale in the expanded filtration. Applications to the expansion of a Brownian filtration are given. The paper concludes with appl...