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)
Related Items
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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