Conditional Markov chains: properties, construction and structured dependence

DOI10.1016/j.spa.2016.07.010zbMath1358.60081OpenAlexW2514139331MaRDI QIDQ516008

Tomasz R. Bielecki, Jacek Jakubowski, Mariusz Andrzej Niewȩgłowski

Publication date: 20 March 2017

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

Full work available at URL: https://doi.org/10.1016/j.spa.2016.07.010

zbMATH Keywords

change of probability measurecompensator of a random measureconditional Markov chaindoubly stochastic Markov chain

Mathematics Subject Classification ID

Continuous-time Markov processes on discrete state spaces (60J27) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (4)

Параллельные полумарковские процессы в задачах группового управления объектами ⋮ Generalised liouville processes and their properties ⋮ A DYNAMIC MODEL OF CENTRAL COUNTERPARTY RISK ⋮ On the finite horizon optimal switching problem with random lag

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Intricacies of dependence between components of multivariate Markov chains: weak Markov consistency and weak Markov copulae
• A class of \(\mathbb F\)-doubly stochastic Markov chains
• Study of dependence for some stochastic processes: symbolic Markov copulae
• Mathematical methods for financial markets.
• Point processes and queues. Martingale dynamics
• Martingale representation theorems for initially enlarged filtrations.
• Dynamic hedging of portfolio credit risk in a Markov copula model
• Intensity-based premium evaluation for unemployment insurance products
• A survey of product-integration with a view toward application in survival analysis
• Multiple Ratings Model of Defaultable Term Structure
• A Markov Chain Copula Model for Credit Default Swaps with Bilateral Counterparty Risk
• RATING BASED LÉVY LIBOR MODEL
• DEFAULTABLE BOND PRICING USING REGIME SWITCHING INTENSITY MODEL
• Defaultable bonds with an infinite number of Lévy factors
• The Markov consistency of Archimedean survival processes
• A Markovian Function of a Markov Chain
• Study of Dependence for Some Stochastic Processes
• Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales
• Lumpability and marginalisability for continuous-time Markov chains
• The Defaultable Lévy Term Structure: Ratings and Restructuring
• Dependent defaults and credit migrations
• Pricing and Hedging of Rating-Sensitive Claims Modeled by $\mathbb{F}$-doubly Stochastic Markov Chains
• A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part I: Markov Copula Perspective
• A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part II: Common-Shock Interpretation, Calibration and Hedging Issues
• Conditional Markov chains – construction and properties
• Modeling of the Defaultable Term Structure: Conditionally Markov Approach
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• COLLATERALIZED CVA VALUATION WITH RATING TRIGGERS AND CREDIT MIGRATIONS
• VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL
• A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries
• On Modification Theorems
• Credit risk: Modelling, valuation and hedging

This page was built for publication: Conditional Markov chains: properties, construction and structured dependence