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An explicit model of default time with given survival probability

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  • Jeanblanc, Monique
  • Song, Shiqi

Abstract

For a given filtered probability space , an -adapted continuous increasing process [Lambda] and a positive - local martingale N such that [Lambda]0=0 and Nte-[Lambda]t

Suggested Citation

  • Jeanblanc, Monique & Song, Shiqi, 2011. "An explicit model of default time with given survival probability," Stochastic Processes and their Applications, Elsevier, vol. 121(8), pages 1678-1704, August.
    • Handle: RePEc:eee:spapps:v:121:y:2011:i:8:p:1678-1704
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    References listed on IDEAS

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    1. Jeanblanc, Monique & Le Cam, Yann, 2009. "Progressive enlargement of filtrations with initial times," Stochastic Processes and their Applications, Elsevier, vol. 119(8), pages 2523-2543, August.
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    Cited by:

    1. Monique Jeanblanc & Thibaut Mastrolia & Dylan Possamaï & Anthony Réveillac, 2015. "Utility Maximization With Random Horizon: A Bsde Approach," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(07), pages 1-43, November.
    2. Aksamit, Anna & Jeanblanc, Monique & Rutkowski, Marek, 2019. "Integral representations of martingales for progressive enlargements of filtrations," Stochastic Processes and their Applications, Elsevier, vol. 129(4), pages 1229-1258.
    3. Karen Grigorian & Robert A. Jarrow, 2023. "Enlargement of Filtrations: An Exposition of Core Ideas with Financial Examples," Papers 2303.03573, arXiv.org.
    4. Frank Gehmlich & Thorsten Schmidt, 2014. "Dynamic Defaultable Term Structure Modelling beyond the Intensity Paradigm," Papers 1411.4851, arXiv.org, revised Jul 2015.
    5. Li, Libo & Rutkowski, Marek, 2012. "Random times and multiplicative systems," Stochastic Processes and their Applications, Elsevier, vol. 122(5), pages 2053-2077.
    6. Libo Li, 2018. "Characterisation of honest times and optional semimartingales of class-($\Sigma$)," Papers 1801.03873, arXiv.org, revised Dec 2021.

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