On the compensator of the default process in an information-based model

DOI10.1186/s41546-017-0017-4zbMath1444.60034arXiv1611.02952OpenAlexW2735094209WikidataQ59527950 ScholiaQ59527950MaRDI QIDQ2296102

Matteo Ludovico Bedini, Hans-Jürgen Engelbert, Rainer Buckdahn

Publication date: 17 February 2020

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

Full work available at URL: https://arxiv.org/abs/1611.02952

zbMATH Keywords

local timecredit riskdefault timeBrownian bridge on random intervalscompensator processtotally inaccessible stopping time

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Martingales with continuous parameter (60G44)

Related Items

Optimally stopping a Brownian bridge with an unknown pinning time: a Bayesian approach

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Credit default prediction and parabolic potential theory
• Mathematical methods for financial markets.
• Default and information
• Progressive enlargement of filtrations with initial times
• Brownian Bridges on Random Intervals