An explicit model of default time with given survival probability
AbstractFor a given filtered probability space , an -adapted continuous increasing process [Lambda] and a positive - local martingale N such that [Lambda]0=0 and Nte-[Lambda]t
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Bibliographic InfoArticle provided by Elsevier in its journal Stochastic Processes and their Applications.
Volume (Year): 121 (2011)
Issue (Month): 8 (August)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description
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- Jeanblanc, Monique & Le Cam, Yann, 2009. "Progressive enlargement of filtrations with initial times," Stochastic Processes and their Applications, Elsevier, vol. 119(8), pages 2523-2543, August.
- Li, Libo & Rutkowski, Marek, 2012. "Random times and multiplicative systems," Stochastic Processes and their Applications, Elsevier, vol. 122(5), pages 2053-2077.
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