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The Φ-Martingale
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Document type | Document de travail (Working Paper) |
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Access type | Accès libre |
Publication date | 2015 |
Language | Anglais |
Number of pages | 31 pages |
Collection | CORE Discussion Paper - 2015/22 |
Affiliations |
UCL
- SSH/LouRIM - Louvain Research Institute in Management and Organizations UCL - SSH/LIDAM/CORE - Center for operations research and econometrics UCL - SSH/LIDAM/LFIN - Louvain Finance |
Keywords | continuous stochastic processes ; Gaussian processes ; bounded martingales ; local martingales ; Azema supermartingale ; credit risk modeling |
Links |
Bibliographic reference | Vrins, Frédéric ; Jeanblanc, Monique. The Φ-Martingale. CORE Discussion Paper ; 2015/22 (2015) 31 pages |
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Permanent URL | http://hdl.handle.net/2078.1/160916 |