scientific article; zbMATH DE number 2133104

MaRDI QIDQ3160495zbMATH OpenFDO

Authors Tomasz R. Bielecki, Marek Rutkowski, Monique Jeanblanc

Publication date 9 February 2005

zbMATH Keywords

credit riskdefaultable claimhazard processmathematical financepricing and hedging

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Credit risk (91G40) Optimal stochastic control (93E20)

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