Add to ORKGThe preservation of the semi-martingale property in progressive enlargement of filtrations has been studied by many authors. Most of them focus on progressive enlargement with a honest time, allowing for semi-martingale invariance and simple decomposition formulas. However, times allowing for semi-martingale invariance in initial enlargements preserve as well this property in progressive enlargements. This paper is devoted to the related canonical decomposition of the martingales in the reference filtration as semi-martingales in the enlarged filtration. Examples are given in credit risk modelling.Progressive enlargement of filtrations Credit risk Canonical decomposition of semi-martingales
We consider the initial and progressive enlargements of a filtration generated by a marked point pro...
Abstract. In a general semimartingale financial model, we study the stability of the No Arbitrage of...
We treat an extension of Jacod's theorem for initial enlargement of filtrations with respect to rand...
AbstractThe preservation of the semi-martingale property in progressive enlargement of filtrations h...
In this article, we define the notion of a filtration and the related notion of the usual hypotheses...
Let X and Y be an m-dimensional F-semi-martingale and an n-dimensional H-semi-martingale, respective...
In this work, for a reference filtration F, we develop a method for computing the semimartingale dec...
Let X be a point process and let F denote the filtration generated by X. In this paper we study mart...
The strong predictable representation property of semi-martingales and the notion of enlargement of ...
International audienceGiven a reference filtration F, we consider the cases where an enlarged filtra...
This work is concerned with the theory of initial and progressive enlargements of a refere...
In this paper we study progressive filtration expansions with random times. We show how semimartinga...
In a general semimartingale financial model, we study the stability of the No Arbitrage of the First...
AbstractLet M be a purely discontinuous martingale relative to a filtration (Ft). Given an arbitrary...
We present two examples of loss of the predictable representation property for semi-martingales by ...
We consider the initial and progressive enlargements of a filtration generated by a marked point pro...
Abstract. In a general semimartingale financial model, we study the stability of the No Arbitrage of...
We treat an extension of Jacod's theorem for initial enlargement of filtrations with respect to rand...
AbstractThe preservation of the semi-martingale property in progressive enlargement of filtrations h...
In this article, we define the notion of a filtration and the related notion of the usual hypotheses...
Let X and Y be an m-dimensional F-semi-martingale and an n-dimensional H-semi-martingale, respective...
In this work, for a reference filtration F, we develop a method for computing the semimartingale dec...
Let X be a point process and let F denote the filtration generated by X. In this paper we study mart...
The strong predictable representation property of semi-martingales and the notion of enlargement of ...
International audienceGiven a reference filtration F, we consider the cases where an enlarged filtra...
This work is concerned with the theory of initial and progressive enlargements of a refere...
In this paper we study progressive filtration expansions with random times. We show how semimartinga...
In a general semimartingale financial model, we study the stability of the No Arbitrage of the First...
AbstractLet M be a purely discontinuous martingale relative to a filtration (Ft). Given an arbitrary...
We present two examples of loss of the predictable representation property for semi-martingales by ...
We consider the initial and progressive enlargements of a filtration generated by a marked point pro...
Abstract. In a general semimartingale financial model, we study the stability of the No Arbitrage of...
We treat an extension of Jacod's theorem for initial enlargement of filtrations with respect to rand...