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  1. 121 数理科学研究科
  2. Journal of Mathematical Sciences, the University of Tokyo
  3. 20
  4. 1
  1. 0 資料タイプ別
  2. 30 紀要・部局刊行物
  3. Journal of Mathematical Sciences, the University of Tokyo
  4. 20
  5. 1

A New Characterization of Random Times for Specifying Information Delay

http://hdl.handle.net/2261/59040
http://hdl.handle.net/2261/59040
0c1ef8c5-9e56-4e4a-8a04-b4da753aa51f
名前 / ファイル ライセンス アクション
jms200106.pdf jms200106.pdf (170.4 kB)
Item type 紀要論文 / Departmental Bulletin Paper(1)
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 http://purl.org/coar/resource_type/c_6501
タイプ departmental bulletin paper
著者 Adachi, Takanori

× Adachi, Takanori

WEKO 92441

Adachi, Takanori

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Miura, Ryozo

× Miura, Ryozo

WEKO 92442

Miura, Ryozo

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Nakagawa, Hidetoshi

× Nakagawa, Hidetoshi

WEKO 92443

Nakagawa, Hidetoshi

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著者所属
著者所属 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
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
MR
Mathmatical Subject Classification
60G20(MSC2010)
Mathmatical Subject Classification
60G40(MSC2010)
Mathmatical Subject Classification
91B30(MSC2010)
Mathmatical Subject Classification
91B70(MSC2010)
出版者
出版者 Graduate School of Mathematical Sciences, The University of Tokyo
原稿受領日
2012-10-22
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