Random time with differentiable conditional distribution function

DOI10.1137/S0040585X97T987909MaRDI QIDQ3178730zbMATH OpenFDO

Authors Shiqi Song

Publication date 7 December 2016

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1312.5709

zbMATH Keywords

Azéma supermartingaleCox measureoptional splitting formulaprogressive enlargement of filtration

Mathematics Subject Classification ID

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Cites work

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• An introduction to copulas.
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• Dynamic one-default model
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• Nouveaux résultats sur le grossissement des tribus
• Optional splitting formula in a progressively enlarged filtration
• Progressive enlargement of filtrations with initial times
• Progressive enlargements of filtrations with pseudo-honest times
• Random times with given survival probability and their \(\mathbb F\)-martingale decomposition formula
• Replication of Contingent Claims in a Reduced-Form Credit Risk Model with Discontinuous Asset Prices
• Semi-martingales et grossissement d'une filtration

Cited in

(2)

• Random times and multiplicative systems
• Characteristics and constructions of default times

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