Progressive enlargement of filtrations with initial times

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

Monique Jeanblanc-Picqué, Yann Le Cam

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 risk; progressive enlargement of filtrations; canonical decomposition of semi-martingales

Mathematics Subject Classification ID

60G48: Generalizations of martingales

60G40: Stopping times; optimal stopping problems; gambling theory

91G40: Credit risk

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Local risk-minimization for defaultable claims with recovery process, Random times with given survival probability and their \(\mathbb F\)-martingale decomposition formula, An explicit model of default time with given survival probability, What happens after a default: the conditional density approach, Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management, ABSOLUTELY CONTINUOUS COMPENSATORS

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