Stopping times occurring simultaneously

DOI10.1051/PS/2024001MaRDI QIDQ6617086zbMATH OpenFDO

Authors Philip Protter, Alejandra Quintos

Publication date 10 October 2024

Published in European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1051/PS/2024001

zbMATH Keywords

compensatormultivariate Cox processsingular distributionstochastic processstopping time

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Credit risk (91G40)

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Cites work

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Cited in

(1)

• Dependent censoring with simultaneous death times based on the generalized Marshall-Olkin model

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