An enlargement of filtration formula with applications to multiple non-ordered default times

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

zbMATH Keywords

enlargement of filtrationsemimartingale decompositionnon-ordered default timesreduced form credit risk modeling

Mathematics Subject Classification ID

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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