Some Extensions of Norros’ Lemma in Models with Several Defaults

Pavel V. Gapeev ()
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Pavel V. Gapeev: London School of Economics, Department of Mathematics

A chapter in Inspired by Finance, 2014, pp 273-281 from Springer

Abstract: Abstract We provide some extensions of Norros’ lemma for a model with several default times and nontrivial reference filtrations. These results allow a characterization of the filtration immersion properties in terms of the terminal values of compensators of the associated default processes. The method of proof is based on the analysis of properties of exponential martingales associated with the default times.

Keywords: Default times; Default processes and their compensators; Intensity processes; Reference filtration; Filtration immersions; 91B70; 60G44; 60G40 (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-02069-3_12

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DOI: 10.1007/978-3-319-02069-3_12

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