At the end of the 1970s, Jean Jacod, Thierry Jeulin and Marc Yor started a systematic study
of enlargement of filtration which focuses on the properties of stochastic processes under a …

We present a general model for default times, making precise the role of the intensity
process, and showing that this process allows for a knowledge of the conditional distribution …

The martingale part in the semimartingale decomposition of a Brownian motion with respect
to an enlargement of its filtration, is an anticipative mapping of the given Brownian motion. In …

This work is concerned with the theory of initial and progressive enlargements of a reference
filtration\hbox {} F with a random time τ. We provide, under an equivalence assumption …

In this article, we consider multilevel Monte Carlo for the numerical computation of
expectations for stochastic differential equations driven by Lévy processes. The underlying …

The existence of dominating local martingale measures | Finance and Stochastics Skip to main
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Modeling of credit risk is concerned with constructing and studying formal models of time
evolution of credit ratings (credit migrations) in a pool of credit names, and with studying …

We investigate the high resolution quantization and entropy coding problem for solutions of
stochastic differential equations under supremum norm distortion. Tight asymptotic formulas …

The paper gathers together ideas related to thin random time, ie, random time whose graph
is contained in a thin set. The concept naturally completes the studies of random times and …

In this paper we review asymptotic formulae for the three coding problems induced by a
range constraint (quantization), an entropy constraint (entropy coding) and a mutual …