Martingale representation property in progressively enlarged filtrations

DOI10.1016/j.spa.2015.06.007zbMath1328.60110arXiv1203.1447OpenAlexW1575382579MaRDI QIDQ491187

Shiqi Song, Monique Jeanblanc-Picqué

Publication date: 24 August 2015

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

Full work available at URL: https://arxiv.org/abs/1203.1447

zbMATH Keywords

filtrationsmartingale representation propertyrandom timechange of probability measurescredit risk modelingimmersion conditionprogressive enlargement

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) General theory of stochastic processes (60G07) Credit risk (91G40)

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