Generalized Cox model for default times
نویسندگان
چکیده
In this paper, we present a model in which the default time may coincide with strictly positive probability stopping times reference filtration. One of advantages our construction is that one can choose sequence these times.
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ژورنال
عنوان ژورنال: Frontiers of mathematical finance
سال: 2022
ISSN: ['2769-6715']
DOI: https://doi.org/10.3934/fmf.2022004