An explicit model of default time with given survival probability
For 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
Volume (Year): 121 (2011)
Issue (Month): 8 (August)
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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.
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