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math.PR2014★ 1 cited
Joint Hitting-Time Densities for Finite State Markov Processes
Tomasz R. Bielecki, Monique Jeanblanc, Ali Devin Sezer
For a finite state Markov process and a finite collection of subsets of its state space, let be the first time the process visits the set . We deriv…
math.PR2014
An enlargement of filtration formula with application to progressive enlargement with multiple random times
Monique Jeanblanc, Libo Li, Shiqi Song
Given a reference filtration , we develop in this work a generic method for computing the semimartingale decomposition of -martingales in some specific enla…