A new characterization of random times for specifying information delay

MaRDI QIDQ5495390zbMATH OpenFDO

Authors Takanori Adachi, Ryozo Miura, Hidetoshi Nakagawa

Publication date 4 August 2014

zbMATH Keywords

asymmetric informationcredit riskdefault riskinformation delayrandom timestopping timestructural model

Mathematics Subject Classification ID

Generalized stochastic processes (60G20) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic models in economics (91B70) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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