Martingale representation property in progressively enlarged filtrations (Q491187)
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scientific article; zbMATH DE number 6475128
| Language | Label | Description | Also known as |
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| English | Martingale representation property in progressively enlarged filtrations |
scientific article; zbMATH DE number 6475128 |
Statements
Martingale representation property in progressively enlarged filtrations (English)
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24 August 2015
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filtrations
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progressive enlargement
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martingale representation property
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random time
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immersion condition
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change of probability measures
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credit risk modeling
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0.9100592732429504
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0.8946859836578369
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0.8685769438743591
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0.8475028276443481
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0.8464258909225464
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