BSDEs of Counterparty Risk and Invariant Times
نویسندگان
چکیده
We study a BSDE with random terminal time that appears in the modeling of counterparty risk in finance. We proceed by reduction of the original BSDE into a simpler BSDE posed with respect to a smaller filtration and a changed probability measure. This is done under a relaxation of the classical immersion hypothesis, stated in terms of the changed probability measure, of which we characterize the Radon-Nikodym derivative. Our study reveals the importance of a new class of so-called invariant times that we characterize in terms of their Azéma supermartingale.
منابع مشابه
BSDEs of Counterparty Risk
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تاریخ انتشار 2014