Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1155943 | Stochastic Processes and their Applications | 2009 | 21 Pages |
Abstract
The 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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Monique Jeanblanc, Yann Le Cam,