Intensity process and compensator: A new filtration expansion approach and the Jeulin-Yor theorem

DOI10.1214/07-AAP447zbMath1145.60037arXiv0801.3191OpenAlexW3106297380MaRDI QIDQ2476401

Yan Zeng, Xin Guo

Publication date: 19 March 2008

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0801.3191

zbMATH Keywords

compensatorfiltration expansionintensity processJeulin-Yor theorem

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Markov processes (60J99)

Related Items (15)

Arbitrage of the first kind and filtration enlargements in semimartingale financial models ⋮ Limit theorems for the compensator of Hawkes processes ⋮ Integral representations of martingales for progressive enlargements of filtrations ⋮ Hedging the Risk of Delayed Data in Defaultable Markets ⋮ Portfolio optimization in discontinuous markets under incomplete information ⋮ ABSOLUTELY CONTINUOUS COMPENSATORS ⋮ Intensity process for a pure jump Lévy structural model with incomplete information ⋮ Strict local martingales with jumps ⋮ MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL ⋮ A Generalized Intensity-Based Framework for Single-Name Credit Risk ⋮ Progressive enlargements of filtrations with pseudo-honest times ⋮ Filtration shrinkage, strict local martingales and the Föllmer measure ⋮ Hedging of defaultable claims in a structural model using a locally risk-minimizing approach ⋮ INFORMATION ASYMMETRY IN PRICING OF CREDIT DERIVATIVES ⋮ On the stochastic behaviour of optional processes up to random times

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