On absolutely continuous compensators and nonlinear filtering equations in default risk models
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References listed on IDEAS
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World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 23, pages 579-590
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More about this item
KeywordsAzéma supermartingale; Default indicator; Absolutely continuous compensators; Pricing of default risk; Nonlinear filtering; Zakai equation; Kushner–Stratonovich equation;
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