Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management (Q988683): Difference between revisions

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+CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP
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+Credit risk: Modelling, valuation and hedging
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+What happens after a default: the conditional density approach
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+Controlled Markov processes and viscosity solutions
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+Utility maximization in incomplete markets
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+Q3684922
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+Progressive enlargement of filtrations with initial times
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+Q3851346
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+Grossissements de filtrations: exemples et applications. Séminaire de Calcul Stochastique 1982/83, Université Paris VI
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+Optimal investment with counterparty risk: a default-density model approach
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+Random times and enlargements of filtrations in a Brownian setting.
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+Applied stochastic control of jump diffusions
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+Pricing Via Utility Maximization and Entropy
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+Dynamic programming for stochastic target problems and geometric flows
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+Publication:988683