Monique Jeanblanc
Department of Mathematics
Universiti d'Evry Val D'Essone - France

Initial Times, Enlargement of Filtration and Credit Risk

We study progressive enlargement with initial times, i.e., times which satisfy $H^\prime$ hypothesis of Jacod for initial enlargement. We give the semi-martingale representation in the enlarged filtration for martingales in the reference filtration. We present some examples, and we apply this tool for credit risk models.


October 22, E1 106, 4:40pm pm

Last updated by jmillham_AT_math_dot_iit_DOT_edu on 10/5/07