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Optional splitting formula in a progressively enlarged filtration
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Optional splitting formula in a progressively enlarged filtration (2014)Optional splitting formula in a progressi…Semimartingale Theory and Stochastic Calculus (2019)Semimartingale Theory and Sto…On arbitrages arising with honest times (2014)On arbitrages arising with ho…Progressive Enlargement of Filtrations and Backward Stochastic Differential Equations with Jumps (2012)Progressive Enlargement of Fi…Random times with given survival probability and their F -martingale decomposition formula (2011)Random times with given survi…Carthaginian enlargement of filtrations (2011)Carthaginian enlargement of f…An explicit model of default time with given survival probability (2011)An explicit model of default …What happens after a default: The conditional density approach (2010)What happens after a default:…Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management (2010)Stochastic control under prog…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…A Remark on default risk models (1999)A Remark on default risk mode…Autour d'un théorème de tsirelson sur des filtrations Browniennes et non Browniennes (1998)Autour d'un théorème de tsire…Semi-Martingales et Grossissement d’une Filtration (1980)Semi-Martingales et Grossisse…Study of a filtration expanded to include an honest time (1978)Study of a filtration expande…Grossissement d’une filtration et semi-martingales : Formules explicites (1978)Grossissement d’une filtratio…Changes of filtrations and of probability measures (1978)Changes of filtrations and of…Calcul stochastique d�pendant d'un param�tre (1978)Calcul stochastique d�pendant…Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)A General Formula for Valuing Defaultable Securities (2004)Default and information (2005)DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS (2005)Martingale Methods in Financial Modelling (1997)On cox processes and credit risky securities (1998)Optimal investment with counterparty risk: a default-density model approach (2010)Optimal investment under multiple defaults risk: A BSDE-decomposition approach (2013)On Square Integrable Martingales (1967)Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain (2004)Mean field games with common noise (2016)Quasimartingales, martingales locales, semimartingales et filtration naturelle (1977)STOCHASTIC DIFFERENTIAL EQUATIONS AND DIFFUSIONS (2000)Un Cours sur les Intégrales Stochastiques (2002)Progressive enlargement of filtrations with initial times (2009)Stochastic controls : Hamiltonian systems and HJB equations (1999)Controlled Markov Processes and Viscosity Solutions (2005)Mean-Variance Hedging on Uncertain Time Horizon in a Market with a Jump (2013)Forward, backward and symmetric stochastic integration (1993)Anticipative portfolio optimization (1996)A survey and some generalizations of Bessel processes (2003)Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)Pathwise properties and homeomorphic flows for stochastic differential equations driven by G -Brownian motion (2009)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)Martingale representation theorems for initially enlarged filtrations (2000)Conditioned stochastic differential equations: theory, examples and application to finance (2002)Valuation of default-sensitive claims under imperfect information (2008)
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References

  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 2019Semimartingale Theory and Stochastic Calculus488 cited
  • 1980Semi-Martingales et Grossissement d’une Filtration330 cited
  • 1999A Remark on default risk models236 cited
  • 1978Changes of filtrations and of probability measures207 cited
  • 1978Calcul stochastique d�pendant d'un param�tre123 cited
  • 2010What happens after a default: The conditional density approach110 cited
  • 1978Grossissement d’une filtration et semi-martingales : Formules explicites110 cited
  • 1978Study of a filtration expanded to include an honest time104 cited
  • 2010Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management67 cited
  • 1998Autour d'un théorème de tsirelson sur des filtrations Browniennes et non Browniennes57 cited
  • 2014On arbitrages arising with honest times56 cited
  • 2012Progressive Enlargement of Filtrations and Backward Stochastic Differential Equations with Jumps46 cited
  • 2011Carthaginian enlargement of filtrations36 cited
  • 2011An explicit model of default time with given survival probability35 cited

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  • 2011Random times with given survival probability and their F -martingale decomposition formula31 cited
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