Financial Mathematics Seminar: Libo Li -- Enlargement of Filtrations, Construction of Random Times and Semimartingale Decompositions

Libo Li will speak on

"Enlargement of Filtration, Construction of Random Times and
Semimartingale Decompositions"

Abstract: We will firstly give an overview of the study of enlargement
of filtration and introduce a method of constructing random times with a
given Azéma’s supermartingale. Secondly, independent from the
construction, we introduce a new class of random times, which can be
seem as an extension to honest times. Lastly, we give results on
decompositions of semimartingales in some enlarged filtration associated
with this new class of random times.

Financial motivation for this study includes reduced form credit risk
models, market model of credit default swaps and perhaps insider
trading.

Everyone is cordially invited.