Progressive enlargement of filtrations with initial times

Monique Jeanblanc and Yann Le Cam

Stochastic Processes and their Applications, 2009, vol. 119, issue 8, 2523-2543

Abstract: The preservation of the semi-martingale property in progressive enlargement of filtrations has been studied by many authors. Most of them focus on progressive enlargement with a honest time, allowing for semi-martingale invariance and simple decomposition formulas. However, times allowing for semi-martingale invariance in initial enlargements preserve as well this property in progressive enlargements. This paper is devoted to the related canonical decomposition of the martingales in the reference filtration as semi-martingales in the enlarged filtration. Examples are given in credit risk modelling.

Keywords: Progressive; enlargement; of; filtrations; Credit; risk; Canonical; decomposition; of; semi-martingales (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (22)

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