Random times and multiplicative systems
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Cites work
- scientific article; zbMATH DE number 3651483 (Why is no real title available?)
- scientific article; zbMATH DE number 3653254 (Why is no real title available?)
- scientific article; zbMATH DE number 3469813 (Why is no real title available?)
- scientific article; zbMATH DE number 3638887 (Why is no real title available?)
- scientific article; zbMATH DE number 3638888 (Why is no real title available?)
- scientific article; zbMATH DE number 3413601 (Why is no real title available?)
- A definition and some characteristic properties of pseudo-stopping times
- An essay on the general theory of stochastic processes
- An explicit model of default time with given survival probability
- Changes of filtrations and of probability measures
- Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives
- Credit risk: Modelling, valuation and hedging
- Doob's maximal identity, multiplicative decompositions and enlargements of filtrations
- Mathematical methods for financial markets.
- Nouveaux résultats sur le grossissement des tribus
- Numéraire-invariant preferences in financial modeling
- On models of default risk.
- Progressive enlargements of filtrations with pseudo-honest times
- Quelques applications de la théorie générale des processus. I
- Random times with given survival probability and their \(\mathbb F\)-martingale decomposition formula
- Repr�sentation multiplicative d'une surmartingale born�e
- What happens after a default: the conditional density approach
Cited in
(8)- Dynamic defaultable term structure modeling beyond the intensity paradigm
- Random times with given survival probability and their \(\mathbb F\)-martingale decomposition formula
- Progressive enlargements of filtrations with pseudo-honest times
- Random time with differentiable conditional distribution function
- On the construction of conditional probability densities in the Brownian and compound Poisson filtrations
- Integral representations of martingales for progressive enlargements of filtrations
- Characteristics and constructions of default times
- On exceptional systems of random integers
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