On absolutely continuous compensators and nonlinear filtering equations in default risk models

DOI10.1016/j.spa.2012.07.001zbMath1282.91325arXiv1205.1154OpenAlexW2130875250MaRDI QIDQ454855

Umut Çetin

Publication date: 10 October 2012

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

Full work available at URL: https://arxiv.org/abs/1205.1154

zbMATH Keywords

Doob-Meyer decompositionnonlinear filteringZakai equationAzéma supermartingaleabsolutely continuous compensatorsdefault risk modelsKushner-Stratonovich equationsvaluation of credit derivatives

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05)

Related Items (3)

Bilateral credit valuation adjustment for large credit derivatives portfolios ⋮ Corporate security prices in structural credit risk models with incomplete information ⋮ Conditional hitting time estimation in a nonlinear filtering model by the Brownian bridge method

Cites Work

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