Progressive enlargement of filtrations with initial times

DOI10.1016/j.spa.2008.12.009zbMath1175.60041OpenAlexW3123044575MaRDI QIDQ2270882

Yann Le Cam, Monique Jeanblanc-Picqué

Publication date: 29 July 2009

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2008.12.009

zbMATH Keywords

credit riskprogressive enlargement of filtrationscanonical decomposition of semi-martingales

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stopping times; optimal stopping problems; gambling theory (60G40) Credit risk (91G40)

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