Some Extensions of Norros’ Lemma in Models with Several Defaults

DOI10.1007/978-3-319-02069-3_12zbMath1418.91571OpenAlexW1602727970MaRDI QIDQ4561936

Pavel V. Gapeev

Publication date: 13 December 2018

Published in: Inspired by Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-02069-3_12

zbMATH Keywords

default timesintensity processesdefault processes and their compensatorsfiltration immersionsreference filtration

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Martingales with continuous parameter (60G44) Credit risk (91G40)

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Cites Work

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