An enlargement of filtration formula with applications to multiple non-ordered default times.

Summary In this work, for a reference filtration F, we develop a method for computing the semimartingale decomposition of F-martingales in a specific type of enlargement of F. As an application, we study the progressive enlargement of F with a sequence of non-ordered default times and we show how to deduce results concerning the first-to-default, k-th-to-default, k-out-of-n-to-default or the all-to-default events. In particular, using this method, we compute explicitly the semimartingale decomposition of F-martingales under the absolute continuity condition of Jacod.