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Random Times and Enlargements of Filtrations in a Brownian Setting · Study

BookRandom Times and Enlargements of Filtrations in a Brownian Setting

Roger Mansuy2006

Book2006

Random Times and Enlargements of Filtrations in a Brownian Setting

Roger Mansuy · Marc Yor

93 citations·0/0 files stored·Springer eBooks

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Stochastic processes and financial applications Probability and Statistical Research Stochastic processes and statistical mechanics

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2010Optimal investment with counterparty risk: a default-density model approach 2010Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management 2014On arbitrages arising with honest times 2012Default times, no-arbitrage conditions and changes of probability measures 2010Optimal investment with inside information and parameter uncertainty 2012Equilibrium model with default and dynamic insider information 2010Stock market insider trading in continuous time with imperfect dynamic information

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Year2006

Typebook

Published2006-01-01

VenueSpringer eBooks

Languageen

Citations93

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/11415558

openalex_workW1484693449

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