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BSDEs of counterparty risk - MaRDI portal

BSDEs of counterparty risk (Q2347456)

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BSDEs of counterparty risk
scientific article

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    title
    BSDEs of counterparty risk (English)
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    author
    Stéphane Crépey
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    Shiqi Song
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    publication date
    27 May 2015
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    Mathematics Subject Classification ID
    60H10
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    60G44
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    91G40
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    91G80
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    zbMATH DE Number
    6440574
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    zbMATH Keywords
    backward stochastic differential equations
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    counterparty risk
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    local martingales
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    invariant times
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    OpenAlex ID
    W1970094691
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