The Application of Kolmogorov’s theorem in the one-default model

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Mathematical Sciences and Applications E-Notes
Volume:4 Issue:2
The Application of Kolmogorov’s theorem in the one-default model

The Application of Kolmogorov’s theorem in the one-default model

Authors : Fatima BENZİADİ, Abdeldjebbar KANDOUCİ

Pages : 71-78

Doi:10.36753/mathenot.421459

View : 36 | Download : 8

Publication Date : 2016-10-30

Article Type : Research Paper

Abstract :
Keywords : Progressive enlargement of filtration, Semimartingale decomposition, Multiplicative decomposition, Credit risk

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