Study of Dependence for Some Stochastic Processes

DOI10.1080/07362990802128958MaRDI QIDQ3518313zbMATH OpenOpenAlexFDO

Authors Tomasz R. Bielecki, Andrea Vidozzi, Luca Vidozzi, Jacek Jakubowski

Publication date 7 August 2008

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362990802128958

zbMATH Keywords

copuladependencestochastic processespoint processesdiffusion processesPoisson random measurescompensators

Mathematics Subject Classification ID

Diffusion processes (60J60) Continuous-time Markov processes on general state spaces (60J25) Martingales with continuous parameter (60G44) Continuous-time Markov processes on discrete state spaces (60J27) Foundations of stochastic processes (60G05)

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• scientific article; zbMATH DE number 1834045 (Why is no real title available?)
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• Copulae of probability measures on product spaces

Cited in

(17)

• Multivariate Markov families of copulas
• Exponential change of measure for general piecewise deterministic Markov processes
• A Markov copula model with regime switching and its application
• Lévy copulas: review of recent results
• Two-player zero-sum stochastic differential games with regime switching and corresponding Hamilton-Jacobi-Bellman-Isaacs' equations
• Dynamic hedging of synthetic CDO tranches with spread risk and default contagion
• Dynamic hedging of counterparty exposure
• A Markov Chain Copula Model for Credit Default Swaps with Bilateral Counterparty Risk
• Simulation/Regression Pricing Schemes for CVA Computations on CDO Tranches
• On the control of the difference between two Brownian motions: a dynamic copula approach
• The Markov consistency of Archimedean survival processes
• Inhomogeneous time change equations for Markov chains and their applications
• Counterparty risk valuation on credit-linked notes under a Markov chain framework
• Semimartingales and shrinkage of filtration
• COLLATERALIZED CVA VALUATION WITH RATING TRIGGERS AND CREDIT MIGRATIONS
• Conditional Markov chains: properties, construction and structured dependence
• Study of dependence for some stochastic processes: symbolic Markov copulae

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