Brownian Bridges on Random Intervals

DOI10.1137/S0040585X97T988022zbMath1358.91105arXiv1601.01811OpenAlexW2963374572MaRDI QIDQ2967978

Rainer Buckdahn, Hans-Jürgen Engelbert, Matteo Ludovico Bedini

Publication date: 9 March 2017

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1601.01811

zbMATH Keywords

Markov processBrownian bridgeBayes theoremcredit default swapdefault timesemimartingale decomposition

Mathematics Subject Classification ID

Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Credit risk (91G40)

Related Items (6)

On a Lévy process pinned at random time ⋮ Brownian bridge with random length and pinning point for modelling of financial information ⋮ Optimally stopping a Brownian bridge with an unknown pinning time: a Bayesian approach ⋮ Bridges with random length: gamma case ⋮ Credit default prediction and parabolic potential theory ⋮ On the compensator of the default process in an information-based model

Cites Work

• Mathematical methods for financial markets.
• Progressive enlargement of filtrations with initial times
• Credit risk: Modelling, valuation and hedging
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Brownian Bridges on Random Intervals