ABSOLUTELY CONTINUOUS COMPENSATORS

DOI10.1142/S0219024911006565zbMath1231.91465arXiv1005.3053OpenAlexW2125706456MaRDI QIDQ3006606

Sokhna M'Baye, Svante Janson, Philip E. Protter

Publication date: 20 June 2011

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1005.3053

zbMATH Keywords

Doob-Meyer decompositionmartingalecredit riskhazard ratecompensatordual predictable projection

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Credit risk (91G40)

Related Items (7)

RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS ⋮ Relative asset price bubbles ⋮ Expansion of a filtration with a stochastic process: the information drift ⋮ On absolutely continuous compensators and nonlinear filtering equations in default risk models ⋮ Time-changed CIR default intensities with two-sided mean-reverting jumps ⋮ Intensity process for a pure jump Lévy structural model with incomplete information ⋮ Strict local martingales with jumps

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• Processus de Markov
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• Changes of filtrations and of probability measures

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