ABSOLUTELY CONTINUOUS COMPENSATORS

DOI10.1142/S0219024911006565zbMath1231.91465arXiv1005.3053OpenAlexW2125706456MaRDI QIDQ3006606

Sokhna M'Baye, Svante Janson, Philip E. Protter

Publication date: 20 June 2011

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1005.3053

zbMATH Keywords

Doob-Meyer decompositionmartingalecredit riskhazard ratecompensatordual predictable projection

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Credit risk (91G40)

Related Items

RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS, Relative asset price bubbles, Expansion of a filtration with a stochastic process: the information drift, On absolutely continuous compensators and nonlinear filtering equations in default risk models, Time-changed CIR default intensities with two-sided mean-reverting jumps, Intensity process for a pure jump Lévy structural model with incomplete information, Strict local martingales with jumps

Cites Work

• Unnamed Item
• The Brownian escape process
• Grossissements de filtrations: exemples et applications. Séminaire de Calcul Stochastique 1982/83, Université Paris VI
• Hazard rate for credit risk and hedging defaultable contingent claims
• Progressive enlargement of filtrations with initial times
• Enlargements of filtrations and path decompositions at non stopping times
• Information reduction via level crossings in a credit risk models
• Intensity process and compensator: A new filtration expansion approach and the Jeulin-Yor theorem
• Processus de Markov
• Systemes de Levy des processus de Markov
• Changes of filtrations and of probability measures