On the compensator of the default process in an information-based model (Q2296102)
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scientific article; zbMATH DE number 7168363
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | On the compensator of the default process in an information-based model |
scientific article; zbMATH DE number 7168363 |
Statements
On the compensator of the default process in an information-based model (English)
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17 February 2020
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default time
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totally inaccessible stopping time
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Brownian bridge on random intervals
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local time
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credit risk
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compensator process
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0.8171657919883728
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0.7902017831802368
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0.7880687713623047
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0.7817697525024414
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0.7755486369132996
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