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2015 Generalized density approach in progressive enlargement of filtrations
Ying Jiao, Shanqiu Li
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Electron. J. Probab. 20: 1-21 (2015). DOI: 10.1214/EJP.v20-3296

Abstract

Motivated by credit risk modelling, we consider a type of default times whose probability law can have atoms, where standard intensity and density hypotheses in the enlargement of filtrations are not satisfied. We propose a generalized density approach in order to treat such random times in the framework of progressive enlargement of filtrations. We determine the compensator process of the random time and study the martingale and semimartingale processes in the enlarged filtration which are important for the change of probability measures and the evaluation of credit derivatives. The generalized density approach can also be applied to model simultaneous default events in the multi-default setting.

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Ying Jiao. Shanqiu Li. "Generalized density approach in progressive enlargement of filtrations." Electron. J. Probab. 20 1 - 21, 2015. https://doi.org/10.1214/EJP.v20-3296

Information

Accepted: 26 August 2015; Published: 2015
First available in Project Euclid: 4 June 2016

zbMATH: 1333.60073
MathSciNet: MR3391868
Digital Object Identifier: 10.1214/EJP.v20-3296

Subjects:
Primary: 60G07
Secondary: 60G44, 91G40

JOURNAL ARTICLE
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Vol.20 • 2015
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