An enlargement of filtration formula with applications to multiple non-ordered default times

Abstract : In this work, for a reference filtration F, we develop a method for computing the semimartingale decomposition of F-martingales in a specific type of enlargement of F. As an application, we study the progressive enlargement of F with a sequence of non-ordered default times and we show how to deduce results concerning the first-to-default, k-th-to-default, k-out-of-n-to-default or the all-to-default events. In particular, using this method, we compute explicitly the semimartingale decomposition of F-martingales under the absolute continuity condition of Jacod.
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Submitted on : Saturday, September 9, 2017 - 1:55:06 PM
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  • HAL Id : hal-01584740, version 1

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M Jeanblanc, Libo Li, S Song. An enlargement of filtration formula with applications to multiple non-ordered default times. 2017. ⟨hal-01584740⟩

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