Dynamics of multivariate default system in random environment

DOI10.1016/j.spa.2017.03.017zbMath1415.91300arXiv1509.09133OpenAlexW2963582561WikidataQ101948616 ScholiaQ101948616MaRDI QIDQ1679470

Nicole El Karoui, Ying Jiao, Monique Jeanblanc-Picqué

Publication date: 9 November 2017

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1509.09133

zbMATH Keywords

martingale characterizationdensity hypothesischange of probability measureprediction processmultiple defaultsproduct space and product measure

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Generalized stochastic processes (60G20) Stochastic integrals (60H05) Credit risk (91G40)

Related Items

Reduced-form framework for multiple ordered default times under model uncertainty, An enlargement of filtration formula with applications to multiple non-ordered default times

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