Construction of multi-default models with full viability

2015/11/01 by Shiqi Song, Song, Shiqi
Economics, Econometrics and Finance · Engineering · Mathematics · #Credit Risk and Financial Regulations #FOS: Mathematics #Probability (math.PR) #Stability and Controllability of Differential Equations #Stochastic processes and financial applications #math.PR

paper · pdf · doi:10.48550/arxiv.1511.00331

arXiv admin note: substantial text overlap with arXiv:1510.05212; text overlap with arXiv:1505.03766, arXiv:1505.00560, arXiv:1207.1662

arxiv created 2015/11/01 · openalex publication_date 2015/11/01 · arxiv updated 2015/11/03 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We study multi-default model which satisfies the quasi-left-continuity, the martingale representation property, the drift multiplier assumption and the full viability. We use \natural-model to construct one such model.

Citations

• Local solution method for the problem of enlargement of filtration
• Drift operator in a viable expansion of information flow
• An introduction of the enlargement of filtration
• Martingale representation processes and applications in the market viability with information flow expansion
• Drift operator in a market affected by the expansion of information flow : a case study

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