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Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management
16 references·3 citing·35 second hop
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References

  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1999Stochastic controls : Hamiltonian systems and HJB equations1,780 cited
  • 2004Credit Risk: Modeling, Valuation and Hedging1,064 cited
  • 2009Continuous-time Stochastic Control and Optimization with Financial Applications1,041 cited
  • 2003Credit Risk : Pricing, Measurement, and Management587 cited
  • 2000Pricing Via Utility Maximization and Entropy454 cited
  • 2005Utility maximization in incomplete markets425 cited
  • 2003Credit Derivatives Pricing Models366 cited
  • 2003Credit Risk: Pricing, Measurement, and Management200 cited
  • 2008Indifference Pricing191 cited
  • 1985Grossissement initial, hypothese (H′) et theoreme de Girsanov176 cited
  • 2002Dynamic programming for stochastic target problems and geometric flows160 cited
  • 2010What happens after a default: The conditional density approach110 cited
  • 2009Portfolio choice under dynamic investment performance criteria107 cited
  • 2006Random Times and Enlargements of Filtrations in a Brownian Setting

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93 cited

Cited by

  • 2013Optimal investment under multiple defaults risk: A BSDE-decomposition approach65 cited
  • 2012Progressive Enlargement of Filtrations and Backward Stochastic Differential Equations with Jumps46 cited
  • 2013Mean-Variance Hedging on Uncertain Time Horizon in a Market with a Jump43 cited