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On the compensator of the default process in an information-based model
Probability, Uncertainty and Quantitative Risk Pub Date : 2017-09-11 , DOI: 10.1186/s41546-017-0017-4
Matteo Ludovico Bedini , Rainer Buckdahn , Hans-Jürgen Engelbert

This paper provides sufficient conditions for the time of bankruptcy (of a company or a state) for being a totally inaccessible stopping time and provides the explicit computation of its compensator in a framework where the flow of market information on the default is modelled explicitly with a Brownian bridge between 0 and 0 on a random time interval.

中文翻译:

基于信息的模型中默认过程的补偿器

本文为破产时间(公司或州)提供了充分的条件,使其完全无法进入停止时间,并在一个框架内对补偿器进行了显式计算,在该框架中,违约的市场信息流被明确建模为随机时间间隔上0到0之间的布朗桥。
更新日期:2017-09-11
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