Invariance times

DOI10.1214/17-AOP1174zbMath1387.60061arXiv1702.01045MaRDI QIDQ682276

Stéphane Crépey, Shiqi Song

Publication date: 14 February 2018

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1702.01045

zbMATH Keywords

enlargement of filtrationmathematical financeBSDErandom timemeasure change

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Martingales with continuous parameter (60G44) General theory of stochastic processes (60G07)

Related Items (8)

Counterparty risk and funding: immersion and beyond ⋮ XVA metrics for CCP optimization ⋮ Generalized BSDE and reflected BSDE with random time horizon ⋮ When Capital Is a Funding Source: The Anticipated Backward Stochastic Differential Equations of X-Value Adjustments ⋮ Characteristics and Constructions of Default Times ⋮ Arbitrage-free pricing of derivatives in nonlinear market models ⋮ Positive XVAs ⋮ XVA analysis from the balance sheet

This page was built for publication: Invariance times