Filtration shrinkage by level-crossings of a diffusion

Details Filtration shrinkage by level-crossings of a diffusion Filtration shrinkage by level-crossings of a diffusion

2007-07-26

arxiv.org/abs/0707.3866v1

Annals of Probability 2007, Vol. 35, No. 2, 739-757

Mathematics

Probability

Published at http://dx.doi.org/10.1214/009117906000000683 in the Annals of Probability (http://www.imstat.org/aop/) by the Ins

Scientific paper

10.1214/009117906000000683

We develop the mathematics of a filtration shrinkage model that has recently been considered in the credit risk modeling literature. Given a finite collection of points $x_1<...

Affiliated with

Also associated with

No associations

Rating

Filtration shrinkage by level-crossings of a diffusion does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Filtration shrinkage by level-crossings of a diffusion, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Filtration shrinkage by level-crossings of a diffusion will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-40482