scientific article; zbMATH DE number 3651483

MaRDI QIDQ3851346zbMATH OpenFDO

Authors Thierry Jeulin

Publication date 1979

Full work available at URL http://www.numdam.org/item?id=SPS_1979__13__574_0, https://eudml.org/doc/113251

zbMATH Keywords

Markov processesstopping times

Mathematics Subject Classification ID

General theory of stochastic processes (60G07)

Cited in

(14)

• An enlargement of filtration formula with applications to multiple non-ordered default times
• Default times, no-arbitrage conditions and changes of probability measures
• Enlarged filtrations for diffusions
• Maximum variation of total risk
• Excursions away from the Lipschitz minorant of a Lévy process
• Progressive enlargement of filtrations with initial times
• Progressive enlargements of filtrations with pseudo-honest times
• Measure-valued random processes
• Random times and multiplicative systems
• BSDEs and enlargement of filtration
• A default system with overspilling contagion
• Linear decomposition and anticipating integral for certain random variables
• Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management
• Ten penalisation results of Brownian motion involving its one-sided supremum until first and last passage times. VIII

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