Reduced-form setting under model uncertainty with non-linear affine intensities
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Publication:2671641
DOI10.3934/puqr.2021008zbMath1490.91226OpenAlexW3204955167MaRDI QIDQ2671641
Francesca Biagini, Katharina Oberpriller
Publication date: 3 June 2022
Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/puqr.2021008
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Reduced-form framework for multiple ordered default times under model uncertainty, Generalized Feynman-Kac formula under volatility uncertainty
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