Dynamics of multivariate default system in random environment
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Publication:1679470
DOI10.1016/j.spa.2017.03.017zbMath1415.91300arXiv1509.09133OpenAlexW2963582561WikidataQ101948616 ScholiaQ101948616MaRDI QIDQ1679470
Nicole El Karoui, Ying Jiao, Monique Jeanblanc-Picqué
Publication date: 9 November 2017
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1509.09133
martingale characterizationdensity hypothesischange of probability measureprediction processmultiple defaultsproduct space and product measure
Martingales with continuous parameter (60G44) Generalized stochastic processes (60G20) Stochastic integrals (60H05) Credit risk (91G40)
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Reduced-form framework for multiple ordered default times under model uncertainty ⋮ An enlargement of filtration formula with applications to multiple non-ordered default times
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