An enlargement of filtration formula with applications to multiple non-ordered default times
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Publication:1691452
DOI10.1007/s00780-017-0349-zzbMath1379.60040OpenAlexW2768647238MaRDI QIDQ1691452
Shiqi Song, Monique Jeanblanc-Picqué, Li-Bo Li
Publication date: 16 January 2018
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-017-0349-z
enlargement of filtrationsemimartingale decompositionnon-ordered default timesreduced form credit risk modeling
Martingales with continuous parameter (60G44) General theory of stochastic processes (60G07) Credit risk (91G40)
Related Items (2)
Reduced-form framework for multiple ordered default times under model uncertainty ⋮ Generalized BSDE and reflected BSDE with random time horizon
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