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A New Characterization of Random Times for Specifying Information Delay
http://hdl.handle.net/2261/59040
http://hdl.handle.net/2261/590400c1ef8c5-9e56-4e4a-8a04-b4da753aa51f
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
jms200106.pdf (170.4 kB)
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| Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
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| 公開日 | 2015-12-15 | |||||
| タイトル | ||||||
| タイトル | A New Characterization of Random Times for Specifying Information Delay | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| 資源タイプ | ||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||
| 資源タイプ | departmental bulletin paper | |||||
| 著者 |
Adachi, Takanori
× Adachi, Takanori× Miura, Ryozo× Nakagawa, Hidetoshi |
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| 著者所属 | ||||||
| 値 | Graduate School of International Corporate Strategy, Hitotsubashi University | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | We introduce a stochastic process called a follower process consisting of a non-decreasing sequence of random times ft whose values do not exceed t. It was originally introduced for representing information delay in structural credit risk models. The follower process is an extension of a time change process introduced by Guo, Jarrow and Zeng in the sense that each component of the follower process is not required to be a stopping time. We introduce a class of follower processes called idempotent, which contains natural examples including follower processes driven by renewal processes. We show that any idempotent follower process is hard to be an example of time change processes. We define a filtration modulated by the follower process and show that it is a natural extension of the continuously delayed filtration that is the filtration modulated by the time change process. We show that conditional expectations given idempotent follower filtrations have some Markov property in a binomial setting, which is useful for pricing defaultable financial instruments. | |||||
| 書誌情報 |
Journal of mathematical sciences, the University of Tokyo 巻 20, 号 1, p. 147-170, 発行日 2013-07-11 |
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| ISSN | ||||||
| 収録物識別子タイプ | ISSN | |||||
| 収録物識別子 | 13405705 | |||||
| 書誌レコードID | ||||||
| 収録物識別子タイプ | NCID | |||||
| 収録物識別子 | AA11021653 | |||||
| 日本十進分類法 | ||||||
| 主題Scheme | NDC | |||||
| 主題 | 415 | |||||
| Mathematical Reviews Number | ||||||
| 値 | MR | |||||
| Mathmatical Subject Classification | ||||||
| 値 | 60G20(MSC2010) | |||||
| Mathmatical Subject Classification | ||||||
| 値 | 60G40(MSC2010) | |||||
| Mathmatical Subject Classification | ||||||
| 値 | 91B30(MSC2010) | |||||
| Mathmatical Subject Classification | ||||||
| 値 | 91B70(MSC2010) | |||||
| 出版者 | ||||||
| 出版者 | Graduate School of Mathematical Sciences, The University of Tokyo | |||||
| 原稿受領日 | ||||||
| 値 | 2012-10-22 | |||||
