Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1156797 | Stochastic Processes and their Applications | 2011 | 27 Pages |
Abstract
For a given filtered probability space (Ω,F,P), an F-adapted continuous increasing process Î and a positive P-F local martingale N such that Î0=0 and NteâÎtâ¤1, we construct a probability measure QZ and a random time Ï such that Q|Fâ=P|Fâ and Q[Ï>t|Ft]=Zt. The probability QZ is linked with the well-known Cox model by an explicit density function. Various properties exist, which characterize QZ from others. Let G=(Gt)tâ¥0 with Gt=Ftâ¨Ï({Ïâ¤s}:sâ¤t). We establish the (Hâ²)-property between the filtrations F and G, and we provide the enlargement of filtration formula.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Monique Jeanblanc, Shiqi Song,