68 citations · 225 across the 22 of their papers we have counts for
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Martingale Representation in the Enlargement of the Filtration Generated by a Point Process
Paolo Di Tella, Monique Jeanblanc
Let be a point process and let denote the filtration generated by . In this paper we study martingale representation theorems in the filtration obt…
Semimartingales and Shrinkage of Filtration
Tomasz R. Bielecki, Jacek Jakubowski, Monique Jeanblanc +1
We consider a complete probability space , which is endowed with two filtrations, and , assumed to satisfy the usual conditions…
SDEs with uniform distributions: Peacocks, Conic martingales and ergodic uniform diffusions
Damiano Brigo, Monique Jeanblanc, Frederic Vrins
It is known since Kellerer (1972) that for any process that is increasing for the convex order, or "peacock" as in Hirsch et al. 2011, there exist martingales with the same margina…
Thin times and random times' decomposition
Anna Aksamit, Tahir Choulli, Monique Jeanblanc
The paper studies thin times which are random times whose graph is contained in a countable union of the graphs of stopping times with respect to a reference filtration …
Conic Martingales from Stochastic Integrals
Frédéric Vrins, Monique Jeanblanc
In this paper we introduce the concept of conic martingales}. This class refers to stochastic processes having the martingale property, but that evolve within given (possibly time-…
Integral representations of martingales for progressive enlargements of filtrations
Anna Aksamit, Monique Jeanblanc, Marek Rutkowski
We work in the setting of the progressive enlargement of a reference filtration through the observation of a random time . We study an integral represent…