Random times with given survival probability and their \(\mathbb F\)-martingale decomposition formula

DOI10.1016/j.spa.2011.03.003zbMath1230.60047OpenAlexW1967140988MaRDI QIDQ544525

Shiqi Song, Monique Jeanblanc-Picqué

Publication date: 15 June 2011

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

Full work available at URL: https://doi.org/10.1016/j.spa.2011.03.003

zbMATH Keywords

multiplicative decompositioncredit riskprogressive enlargement of filtrationsemimartingale decomposition

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Credit risk (91G40)

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Cites Work

• An explicit model of default time with given survival probability
• Conformal martingales
• A new construction of the \(\sigma \)-finite measures associated with submartingales of class \((\Sigma )\)
• What happens after a default: the conditional density approach
• Progressive enlargement of filtrations with initial times
• Doob's maximal identity, multiplicative decompositions and enlargements of filtrations
• Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives
• Study of a filtration expanded to include an honest time
• Credit risk: Modelling, valuation and hedging
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