Invariant times *

نویسندگان

  • Stéphane Crépey
  • Shiqi Song
چکیده

Motivated by counterparty and credit risk applications, we define an invariant time as a stopping time such that local martingales with respect to a smaller filtration and a possibly changed probability measure, once stopped right before that time, are local martingales with respect to the original model filtration and probability measure. The possibility to change the measure provides an additional degree of freedom with respect to other classes of random times such as Cox times or pseudo-stopping times that are commonly used to model default times. We provide an Azéma supermartingale characterization of invariant times and we characterize the positivity of the stochastic exponential involved in a tentative measure change. We study the avoidance properties of invariant times and their connections with pseudo-stopping times.

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تاریخ انتشار 2014