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An explicit model of default time with given survival probability

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  • Jeanblanc, Monique
  • Song, Shiqi

Abstract

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

Suggested Citation

  • Jeanblanc, Monique & Song, Shiqi, 2011. "An explicit model of default time with given survival probability," Stochastic Processes and their Applications, Elsevier, vol. 121(8), pages 1678-1704, August.
  • Handle: RePEc:eee:spapps:v:121:y:2011:i:8:p:1678-1704
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    References listed on IDEAS

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    1. 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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    Cited by:

    1. Libo Li, 2018. "From Az\'ema supermartingales of finite honest times to optional semimartingales of class-($\Sigma$)," Papers 1801.03873, arXiv.org.
    2. Frank Gehmlich & Thorsten Schmidt, 2014. "Dynamic Defaultable Term Structure Modelling beyond the Intensity Paradigm," Papers 1411.4851, arXiv.org, revised Jul 2015.
    3. 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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