Jiao, Ying; Kharroubi, Idris; Pham, Huyen - Université Paris-Dauphine (Paris IX) - 2013
We study an optimal investment problem under contagion risk in a financial model subject to multiple jumps and defaults. The global market information is formulated as progressive enlargement of a default-free Brownian filtration, and the dependence of default times is modelled by a conditional...