From Az\'ema supermartingales of finite honest times to optional semimartingales of class-$(\Sigma)$}


Given a finite honest time, we derive representations for the additive and multiplicative decomposition of it's Az\'ema supermartingale in terms of optional supermartingales and its running supremum. We extend the notion of... [ view full abstract ]


  1. Libo Li (University of New South Wales)

Topic Areas

Credit Risk , Information Models


TH-P-B1 » Credit Risk 2 (14:30 - Thursday, 19th July, Beckett 1)

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