Characteristics and Constructions of Default Times
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Publication:5123452
DOI10.1137/19M1274912zbMath1448.91312OpenAlexW3044948641MaRDI QIDQ5123452
Li-Bo Li, Monique Jeanblanc-Picqué
Publication date: 28 September 2020
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/19m1274912
multiplicative decompositionadditive decompositioncredit riskrandom timesAzéma's supermartingalereduced form approachoptimal semimartingales
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