Generalized density approach in progressive enlargement of filtrations

DOI10.1214/EJP.V20-3296zbMath1333.60073MaRDI QIDQ894142

Ying Jiao, Shanqiu Li

Publication date: 27 November 2015

Published in: Electronic Journal of Probability (Search for Journal in Brave)

zbMATH Keywords

progressive enlargement of filtrationsgeneralized densitysemimartingale decompositionsovereign default modeling

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Generalized stochastic processes (60G20) Credit risk (91G40)

Related Items (12)

General dynamic term structures under default risk ⋮ An Example of Martingale Representation in Progressive Enlargement by an Accessible Random Time ⋮ DEFAULTABLE TERM STRUCTURES DRIVEN BY SEMIMARTINGALES ⋮ LOCAL RISK MINIMIZATION OF CONTINGENT CLAIMS SIMULTANEOUSLY EXPOSED TO ENDOGENOUS AND EXOGENOUS DEFAULT TIMES ⋮ Stochastic filtering of a pure jump process with predictable jumps and path-dependent local characteristics ⋮ Martingale representations in progressive enlargement by the reference filtration of a semi-martingale: a note on the multidimensional case ⋮ Generalized Cox model for default times ⋮ Characteristics and Constructions of Default Times ⋮ Joint densities of hitting times for finite state Markov processes ⋮ DYNAMIC DEFAULTABLE TERM STRUCTURE MODELING BEYOND THE INTENSITY PARADIGM ⋮ MODELING SOVEREIGN RISKS: FROM A HYBRID MODEL TO THE GENERALIZED DENSITY APPROACH ⋮ Stopping times occurring simultaneously

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