Invariance times transfer properties

DOI10.3934/PUQR.2024019MaRDI QIDQ6855273zbMATH OpenFDO

Authors Stéphane Crépey

Publication date 20 February 2026

Published in Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/PUQR.2024019

zbMATH Keywords

backward stochastic differential equationcounterparty riskcredit riskinvariance timeMarkov processprogressive enlargement of filtrationsemimartingale calculus

Mathematics Subject Classification ID

General theory of stochastic processes (60G07) Martingales with continuous parameter (60G44) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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